Estimation of dynamic models with nonparametric simulated maximum likelihood
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Publication:738137
DOI10.1016/J.JECONOM.2011.09.042zbMATH Open1441.62785OpenAlexW3121736260MaRDI QIDQ738137FDOQ738137
Authors: Dennis Kristensen, Yongseok Shin 
Publication date: 15 August 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://discovery.ucl.ac.uk/1340726/1/Kristensen_AAM_estimation_of_dynamic_models_with_nonparametric.pdf
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Cited In (27)
- A Sieve-SMM Estimator for Dynamic Models
- Estimation of ergodic agent-based models by simulated minimum distance
- Estimation of financial agent-based models with simulated maximum likelihood
- Estimation by simulation of monotone dynamical systems
- Some remarks on CCP-based estimators of dynamic models
- Simulation-based estimation of dynamic models with continuous equilibrium solutions
- Estimating the DINA model parameters using the No‐U‐Turn Sampler
- Estimation of dynamic latent variable models using simulated non-parametric moments
- Generalized indirect inference for discrete choice models
- Efficient estimation and filtering for multivariate jump-diffusions
- Estimation of partial differential equations with applications in finance
- Recovering the real-world density and liquidity premia from option data
- A NONPARAMETRIC SIMULATED MAXIMUM LIKELIHOOD ESTIMATION METHOD
- Nonparametric maximum likelihood density estimation and simulation-based minimum distance estimators
- The sparse method of simulated quantiles: An application to portfolio optimization
- Diffusion copulas: identification and estimation
- Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models
- Solving dynamic discrete choice models using smoothing and sieve methods
- Simulation and evaluation of the distribution of interest rate risk
- Estimation of agent-based models using Bayesian deep learning approach of BayesFlow
- Simulated likelihood estimators for discretely observed jump-diffusions
- Simulated Non-Parametric Estimation of Dynamic Models
- Simulated maximum likelihood estimation for discrete choices using transformed simulated frequencies
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- Estimation of heuristic switching in behavioral macroeconomic models
- Mining the hidden link structure from distribution flows for a spatial social network
- Higher-order properties of approximate estimators
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