The Stochastic Difference Between Econometric Statistics
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DOI10.2307/1911699zbMATH Open0722.62067OpenAlexW2066484268MaRDI QIDQ3210031FDOQ3210031
Authors: Peter M. Robinson 
Publication date: 1988
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/1911699
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maximum likelihoodoptimal algorithmsnonlinear least squaressimultaneous equation modelsiterative procedurestarget estimatorhigher order efficiency comparisonsstochastic differencethree-stage least-squares estimation
Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20)
Cited In (48)
- A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL
- On the multi-step MLE-process for ergodic diffusion
- Nonparametric Maximum Likelihood Estimators of Time-Dependent Accuracy Measures for Survival Outcome Under Two-Stage Sampling Designs
- Efficient closed-form estimation of large spatial autoregressions
- Variable selection for Cox's proportional hazards model and frailty model
- Exact tests for contemporaneous correlation of disturbances in seemingly unrelated regressions.
- Estimation of some partially specified nonlinear models
- Method of moments estimators and multi-step MLE for Poisson processes
- Semiparametric fractional cointegration analysis
- On the efficient use of the informational content of estimating equations: implied probabilities and Euclidean empirical likelihood
- Estimation of a linear regression model with stationary ARMA (p,q) errors
- AN ALMOST CLOSED FORM ESTIMATOR FOR THE EGARCH MODEL
- Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese yuan
- Profile-kernel likelihood inference with diverging number of parameters
- Constrained estimation using penalization and MCMC
- Pseudo-likelihood estimation and bootstrap inference for structural discrete Markov decision models
- On approximation of BSDE and multi-step MLE-processes
- One-step minimum Hellinger distance estimation
- Some higher-order theory for a consistent non-parametric model specification test
- How many iterations are sufficient for efficient semiparametric estimation?
- SOME CONVERGENCE THEORY FOR ITERATIVE ESTIMATION PROCEDURES WITH AN APPLICATION TO SEMIPARAMETRIC ESTIMATION
- Hazard models with varying coefficients for multivariate failure time data
- A new class of asymptotically efficient estimators for moment condition models
- Second-order powers of a class of tests in the presence of a nuisance parameter
- Estimation and inference by stochastic optimization
- Minimum Distance Estimation of Search Costs Using Price Distribution
- Modified Whittle estimation of multilateral models on a lattice
- A semiparametric two-step estimator in a multivariate long memory model
- SPECIFICATION TESTS FOR LATTICE PROCESSES
- A new class of tests for overidentifying restrictions in moment condition models
- Efficient two-step estimation via targeting
- Second order approximation in a linear regression with heteroskedasticity of unknown form
- Efficient estimation of the semiparametric spatial autoregressive model
- Weighted-average least squares estimation of generalized linear models
- One-step sparse estimates in nonconcave penalized likelihood models
- Communication-Efficient Accurate Statistical Estimation
- Gaussian pseudo-maximum likelihood estimation of fractional time series models
- The second-order bias and mean squared error of nonlinear estimators
- On estimation and inference in a partially linear hazard model with varying coefficients
- Large Sample Properties of the Three-Step Euclidean Likelihood Estimators under Model Misspecification
- STOCHASTIC ORDERS OF MAGNITUDE ASSOCIATED WITH TWO-STAGE ESTIMATORS OF FRACTIONAL ARIMA SYSTEMS
- Yield curve estimation by kernel smoothing methods
- EFFICIENCY IN LARGE DYNAMIC PANEL MODELS WITH COMMON FACTORS
- Modified three-stage least squares estimator which is third-order efficient
- EXACT LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION WITH UNKNOWN MEAN AND TIME TREND
- On the validity of Edgeworth expansions and moment approximations for three indirect inference estimators
- Laplace approximations using \(n^\alpha\)-consistent estimators
- Higher-order properties of approximate estimators
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