Encompassing and indirect inference
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Publication:3598288
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Cites work
- Pseudo Maximum Likelihood Methods: Theory
- Simulated Moments Estimation of Markov Models of Asset Prices
- Testing nested or non-nested hypotheses
- Testing the Rank and Definiteness of Estimated Matrices With Applications to Factor, State-Space and ARMA Models
- The Encompassing Principle and its Application to Testing Non-Nested Hypotheses
Cited in
(48)- Instrumental Models and Indirect Encompassing
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- Truncated dynamics and estimation of diffusion equations
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- Estimating continuous-time stochastic volatility models of the short-term interest rate
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- Approximate Bayesian computational methods
- Pre-processing for approximate Bayesian computation in image analysis
- Approximate Bayesian computation with composite score functions
- Local parametric analysis of hedging in discrete time
- Approximate Bayesian computation and simulation-based inference for complex stochastic epidemic models
- ECF estimation of Markov models where the transition density is unknown
- Multiscale modeling of wear degradation in cylinder liners
- Indirect estimation of randomized generalized autoregressive conditional heteroskedastic models
- Bias-corrected quantile regression estimation of censored regression models
- On the validity of Edgeworth expansions and moment approximations for three indirect inference estimators
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