Consistent pseudo-maximum likelihood estimators and groups of transformations

DOI10.3982/ECTA14727MaRDI QIDQ5225252zbMATH OpenOpenAlexWikidataFDO

Authors Christian Gouriéroux, Jean-Michel Zakoïan, Alain Monfort

Publication date 19 July 2019

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3982/ecta14727

zbMATH Keywords

conditional heteroscedasticityconsistencyidentificationpseudo-maximum likelihoodspatial interactionsstochastic volatilitytransformation model

Mathematics Subject Classification ID

Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Inference from spatial processes (62M30) Applications of statistics to economics (62P20)

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Cites work

• Asymptotic Bias for Quasi-Maximum-Likelihood Estimators in Conditional Heteroskedasticity Models
• Cholesky-GARCH models with applications to finance
• Consistent non-Gaussian pseudo maximum likelihood estimators
• Consistent pseudo-maximum likelihood estimators and groups of transformations
• Geometric Means in a Novel Vector Space Structure on Symmetric Positive‐Definite Matrices
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• Identification of Endogenous Social Effects: The Reflection Problem
• Independent component analysis, a new concept?
• Local polynomial regression for symmetric positive definite matrices
• Maximum Likelihood Estimation of Misspecified Models
• Pseudo Maximum Likelihood Methods: Theory
• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
• Semiparametric multivariate volatility models
• Statistical inference for independent component analysis: application to structural VAR models
• Statistics for spatial data
• Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE

Cited in

(5)

• Maximum likelihood estimation for score-driven models
• Consistent non-Gaussian pseudo maximum likelihood estimators
• Pairwise likelihood approach to grouped continuous model and its extension
• scientific article; zbMATH DE number 952483 (Why is no real title available?)
• Consistent pseudo-maximum likelihood estimators and groups of transformations

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• spBayes

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