Simulation estimation of time-series models
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Publication:751158
DOI10.1016/0304-4076(91)90098-XzbMath0714.62107MaRDI QIDQ751158
Bong-Soo Lee, Beth Fisher Ingram
Publication date: 1991
Published in: Journal of Econometrics (Search for Journal in Brave)
asymptotic normalitygoodness-of-fit testchi-square statisticestimation by simulationfully specified stochastic equilibrium model
Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)
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Cites Work
- Large Sample Properties of Generalized Method of Moments Estimators
- Simulation and the Asymptotics of Optimization Estimators
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- Comparative Dynamics and Risk Premia in an Overlapping Generations Model
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