Fourth order pseudo maximum likelihood methods

DOI10.1016/J.JECONOM.2011.01.004zbMATH Open1441.62733OpenAlexW2074292655MaRDI QIDQ737907FDOQ737907

Authors: Alberto Holly, Alain Monfort, M. Rockinger 

Publication date: 12 August 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2011.01.004

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zbMATH Keywords

kurtosisskewnesspseudo maximum likelihoodquartic exponential family

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

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• Large Sample Properties of Generalized Method of Moments Estimators
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Cited In (4)

• Towards a computationally tractable maximum entropy principle for nonstationary financial time series
• Pseudo Maximum Likelihood Methods: Theory
• Title not available (Why is that?)
• On a computationally scalable sparse formulation of the multidimensional and nonstationary maximum entropy principle

Uses Software

• OPQ
• nlmdl

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