Encompassing and indirect inference
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Publication:3598288
DOI10.1007/BF02589066zbMATH Open1448.62202OpenAlexW2005810494MaRDI QIDQ3598288FDOQ3598288
Authors: Christian Gouriéroux, Alain Monfort 
Publication date: 3 February 2009
Published in: Journal of the Italian Statistical Society (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/bf02589066
Recommendations
Applications of statistics to economics (62P20) Hypothesis testing in multivariate analysis (62H15) Stationary stochastic processes (60G10)
Cites Work
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- Pseudo Maximum Likelihood Methods: Theory
- Testing the Rank and Definiteness of Estimated Matrices With Applications to Factor, State-Space and ARMA Models
- Testing nested or non-nested hypotheses
- The Encompassing Principle and its Application to Testing Non-Nested Hypotheses
Cited In (48)
- Estimation for discretely observed diffusions using transform functions
- Likelihood-free inference via classification
- Finite-sample theory and bias correction of maximum likelihood estimators in the EGARCH model
- Generative Bayesian neural network model for risk-neutral pricing of American index options
- Moment conditions and Bayesian non-parametrics
- A new model for interdependent durations
- Quasi‐maximum likelihood estimation of discretely observed diffusions
- Efficient method of moments estimators for integer time series models
- A simple approach to maximum intractable likelihood estimation
- A hybrid data cloning maximum likelihood estimator for stochastic volatility models
- Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study
- An approximate likelihood perspective on ABC methods
- Bayesian design of experiments for intractable likelihood models using coupled auxiliary models and multivariate emulation
- Inference for stochastic volatility models using time change transformations
- Robust efficient method of moments estimation
- Approximate Bayesian computation: a survey on recent results
- Pseudo-maximum likelihood method, adjusted pseudo-maximum likelihood method and covariance estimators
- Encompassing tests when no model is encompassing
- Encompassing: formulation, properties and testing
- Truncated dynamics and estimation of diffusion equations
- Nonparametric maximum likelihood density estimation and simulation-based minimum distance estimators
- Harold Jeffreys's \textit{Theory of probability} revisited
- Estimating large losses in insurance analytics and operational risk using the g-and-h distribution
- Estimating continuous-time stochastic volatility models of the short-term interest rate
- The indirect method: inference based on intermediate statistics -- a synthesis and examples
- Approximate bias correction in econometrics
- Estimation and asymptotic covariance matrix for stochastic volatility models
- Estimating multiple-membership logit models with mixed effects: indirect inference versus data cloning
- Closed-form likelihoods for stochastic differential equation growth models
- Estimating the Wishart affine stochastic correlation model using the empirical characteristic function
- Single moms and deadbeat dads: the role of earnings, marriage market conditions, and preference heterogeneity
- Encompassing in stationary linear dynamic models
- Trend-following hedge funds and multi-period asset allocation
- Estimation in discrete parameter models
- Job search theory, labour supply and unemployement duration
- A selective overview of nonparametric methods in financial econometrics
- Valid locally uniform Edgeworth expansions for a class of weakly dependent processes or sequences of smooth transformations
- Approximate Bayesian computational methods
- Pre-processing for approximate Bayesian computation in image analysis
- Approximate Bayesian computation with composite score functions
- Multiscale modeling of wear degradation in cylinder liners
- ECF estimation of Markov models where the transition density is unknown
- Indirect estimation of randomized generalized autoregressive conditional heteroskedastic models
- Local parametric analysis of hedging in discrete time
- Approximate Bayesian computation and simulation-based inference for complex stochastic epidemic models
- Bias-corrected quantile regression estimation of censored regression models
- On the validity of Edgeworth expansions and moment approximations for three indirect inference estimators
- Instrumental Models and Indirect Encompassing
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