Estimation When a Parameter is on a Boundary
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- Marginal distributions of maximum likelihood estimator when one or two components of the true parameter are on the boundary of the parameter space
- Parameter-based asymptotics
Cited in
(only showing first 100 items - show all)- Maximum likelihood inference for log-linear models subject to constraints of double monotone dependence
- Asymptotic distribution of likelihood ratio test statistics for variance components in nonlinear mixed effects models
- An MCMC approach to classical estimation.
- A simple estimator for nonlinear error in variable models
- Valid locally uniform Edgeworth expansions for a class of weakly dependent processes or sequences of smooth transformations
- A note on the QMLE limit theory in the non-stationary ARCH(1) model
- The asymptotic distribution of the isotonic regression estimator over a general countable pre-ordered set
- Subvector inference when the true parameter vector may be near or at the boundary
- Testing for jumps and jump intensity path dependence
- Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
- Robust estimation and confidence interval in meta-regression models
- Rates of information aggregation in common value auctions
- Identification and estimation of risk aversion in first-price auctions with unobserved auction heterogeneity
- Testing for observation-dependent regime switching in mixture autoregressive models
- Estimating multinomial choice models with unobserved choice sets
- Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models
- Adjustments of Rao's score test for distributional and local parametric misspecifications
- Comparing estimation methods of non-stationary errors-in-variables models
- Generic results for establishing the asymptotic size of confidence sets and tests
- Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form
- Non-standard inference for augmented double autoregressive models with null volatility coefficients
- Semiparametrically efficient estimation of Euclidean parameters under equality constraints
- Semiparametric estimation for isotropic max-stable space-time processes
- On asymptotic size distortions in the random coefficients logit model
- Asymptotic inference for the constrained quantile regression process
- Testing overidentifying restrictions with a restricted parameter space
- A note on the log-Lindley distribution
- Modeling heaped duration data: an application to neonatal mortality
- Nonparametric estimation and inference under shape restrictions
- Factor representing portfolios in large asset markets
- Bootstrap unit root tests in panels with cross-sectional dependency
- First difference maximum likelihood and dynamic panel estimation
- Mixed-rates asymptotics
- Generalized least squares transformation and estimation with autoregressive error
- Robust estimation and inference for heavy tailed GARCH
- Asymptotics for estimation and testing procedures under loss of identifiability
- Estimation with overidentifying inequality moment conditions
- Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero
- Maximum likelihood estimation of stochastic frontier models with endogeneity
- Extension of the Schwarz information criterion for models sharing parameter boundaries
- A fast subsampling method for nonlinear dynamic models
- Poisson QMLE of count time series models
- Edgeworth and moment approximations: the case of MM and QML estimators for the MA(1) models
- Higher order asymptotic theory when a parameter is on a boundary with an application to GARCH models
- Regime switching for dynamic correlations
- Size distortion in the analysis of volatility and covolatility effects
- Confidence sets for partially identified parameters that satisfy a finite number of moment inequalities
- Dynamic linear panel regression models with interactive fixed effects
- The structure of US food demand
- Estimation under inequality constraints: semiparametric estimation of conditional duration models
- Diagnostic Measures for Generalized Linear Models with Missing Covariates
- Lack-of-fit tests in linear mixed models with application to wavelet tests
- RANK-BASED ESTIMATION FOR GARCH PROCESSES
- Functional form misspecification in regressions with a unit root
- ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS
- Inference for the correlation coefficient between potential outcomes in the Gaussian switching regime model
- Invalidity of the bootstrap and the m out of n bootstrap for confidence interval endpoints defined by moment inequalities
- Inference and testing on the boundary in extended constant conditional correlation GARCH models
- Limit Theory for the QMLE of the GQARCH (1,1) Model
- Marginal distributions of maximum likelihood estimator when one or two components of the true parameter are on the boundary of the parameter space
- GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION
- Asymptotic size and a problem with subsampling and with the \(m\) out of \(n\) bootstrap
- Asymptotic theory for empirical similarity models
- ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL
- Parameter-based asymptotics
- On statistical inference with parameter estimates on the boundary of the parameter space
- Testing for reduction to random walk in autoregressive conditional heteroskedasticity models
- Perturbation and scaled Cook's distance
- Maximum likelihood estimates for the Hildreth–Houck random coefficients model
- QML inference for volatility models with covariates
- Testing for Concordance Ordering
- Hypothesis Testing in Mixture Regression Models
- Bounding quantile demand functions using revealed preference inequalities
- Model selection tests for moment inequality models
- Multinomial-Poisson models subject to inequality constraints
- Selection of mixed copula model via penalized likelihood
- Integer-valued asymmetric GARCH modeling
- Estimation, testing, and finite sample properties of quasi-maximum likelihood estimators in GARCH-M models
- Normality of posterior distribution under misspecification and nonsmoothness, and Bayes factor for Davies' problem
- Inference for asymmetric exponentially weighted moving average models
- A simple example of an indirect estimator with discontinuous limit theory in the MA(1) model
- A note on a cross-sectional GMM estimator in the presence of an observable common shock
- Testing GARCH-X type models
- ESTIMATING DYNAMIC DISCRETE CHOICE MODELS WITH HYPERBOLIC DISCOUNTING, WITH AN APPLICATION TO MAMMOGRAPHY DECISIONS
- Nonparametric estimation and inference about the overlap of two distributions
- On the consistency of bootstrap testing for a parameter on the boundary of the parameter space
- Goodness-of-fit tests for copulas
- A primer on bootstrap testing of hypotheses in time series models: with an application to double autoregressive models
- Imposing and Testing for Shape Restrictions in Flexible Parametric Models
- On the discontinuity of the quantum Fisher information for quantum statistical models with parameter dependent rank
- UNIFORM INFERENCE IN A GENERALIZED INTERVAL ARITHMETIC CENTER AND RANGE LINEAR MODEL
- A discrete choice model for partially ordered alternatives
- A smoothed \(p\)-value test when there is a nuisance parameter under the alternative
- Uniform inference in linear panel data models with two-dimensional heterogeneity
- Wald, QLR, and score tests when parameters are subject to linear inequality constraints
- Estimation of the empirical risk‐return relation: A generalized‐risk‐in‐mean model
- A generalization of the Solis-Wets method
- Parametric risk-neutral density estimation via finite lognormal-Weibull mixtures
- A robust approach for inference on style analysis coefficients
- Is There a Jump in the Transition?
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