Recommendations
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)- Approximate bias correction in econometrics
- Pseudo-maximum likelihood method, adjusted pseudo-maximum likelihood method and covariance estimators
- Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study
- Encompassing in stationary linear dynamic models
- Encompassing: formulation, properties and testing
- Estimating continuous-time stochastic volatility models of the short-term interest rate
- Job search theory, labour supply and unemployement duration
- Local parametric analysis of hedging in discrete time
- An approximate likelihood perspective on ABC methods
- A hybrid data cloning maximum likelihood estimator for stochastic volatility models
- Valid locally uniform Edgeworth expansions for a class of weakly dependent processes or sequences of smooth transformations
- Estimation and asymptotic covariance matrix for stochastic volatility models
- Likelihood-free inference via classification
- Bias-corrected quantile regression estimation of censored regression models
- Finite-sample theory and bias correction of maximum likelihood estimators in the EGARCH model
- A simple approach to maximum intractable likelihood estimation
- Nonparametric maximum likelihood density estimation and simulation-based minimum distance estimators
- Bayesian design of experiments for intractable likelihood models using coupled auxiliary models and multivariate emulation
- On the validity of Edgeworth expansions and moment approximations for three indirect inference estimators
- Inference for stochastic volatility models using time change transformations
- A selective overview of nonparametric methods in financial econometrics
- The indirect method: inference based on intermediate statistics -- a synthesis and examples
- Approximate Bayesian computation with composite score functions
- Approximate Bayesian computation: a survey on recent results
- ECF estimation of Markov models where the transition density is unknown
- Quasi‐maximum likelihood estimation of discretely observed diffusions
- Moment conditions and Bayesian non-parametrics
- Closed-form likelihoods for stochastic differential equation growth models
- Instrumental Models and Indirect Encompassing
- A new model for interdependent durations
- Single moms and deadbeat dads: the role of earnings, marriage market conditions, and preference heterogeneity
- Trend-following hedge funds and multi-period asset allocation
- Estimation for discretely observed diffusions using transform functions
- Estimating large losses in insurance analytics and operational risk using the g-and-h distribution
- Estimating multiple-membership logit models with mixed effects: indirect inference versus data cloning
- Efficient method of moments estimators for integer time series models
- Indirect estimation of randomized generalized autoregressive conditional heteroskedastic models
- Generative Bayesian neural network model for risk-neutral pricing of American index options
- Multiscale modeling of wear degradation in cylinder liners
- Robust efficient method of moments estimation
- Truncated dynamics and estimation of diffusion equations
- Encompassing tests when no model is encompassing
- Estimation in discrete parameter models
- Pre-processing for approximate Bayesian computation in image analysis
- Approximate Bayesian computation and simulation-based inference for complex stochastic epidemic models
- Approximate Bayesian computational methods
- Harold Jeffreys's \textit{Theory of probability} revisited
- Estimating the Wishart affine stochastic correlation model using the empirical characteristic function
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