Simulated Non-Parametric Estimation of Dynamic Models
From MaRDI portal
Publication:3393991
DOI10.1111/j.1467-937X.2008.00527.xzbMath1168.91449MaRDI QIDQ3393991
Antonio Mele, Filippo Altissimo
Publication date: 28 August 2009
Published in: Review of Economic Studies (Search for Journal in Brave)
Related Items
A simple approach to the parametric estimation of potentially nonstationary diffusions, Estimation of financial agent-based models with simulated maximum likelihood, Estimation of heuristic switching in behavioral macroeconomic models, Efficient simulation-based minimum distance estimation and indirect inference, Efficient estimation of general dynamic models with a continuum of moment conditions, Returns-to-scale and the equity premium puzzle, UNIFORM CONVERGENCE RATES OF KERNEL ESTIMATORS WITH HETEROGENEOUS DEPENDENT DATA, Higher-order properties of approximate estimators, Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models, Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models, Nonparametric maximum likelihood density estimation and simulation-based minimum distance estimators, Estimation of dynamic models with nonparametric simulated maximum likelihood, ESTIMATION OF STOCHASTIC VOLATILITY MODELS BY NONPARAMETRIC FILTERING, A bootstrap approach for generalized Autocontour testing Implications for VIX forecast densities, Bootstrap specification tests for diffusion processes