Semi-Nonparametric Maximum Likelihood Estimation
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Publication:89225
DOI10.2307/1913241zbMATH Open0631.62110OpenAlexW2050980654MaRDI QIDQ89225FDOQ89225
Douglas W. Nychka, Douglas Nychka, A. Ronald Gallant, A. Ronald Gallant
Publication date: March 1987
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/1913241
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multivariate normal distributionidentificationcompactnessdensenessestimation of Stoker functionalsfitting econometric modelsHermite formsHermite seriesnonlinear regressionnonparametricsample selectionsemi-nonparametric maximum likelihood estimationsemi-parametricuniform convergence
Point estimation (62F10) Nonparametric estimation (62G05) Applications of statistics to economics (62P20)
Cited In (only showing first 100 items - show all)
- Examples in which misspecification of a random effects distribution reduces efficiency, and possible remedies
- On the asymptotic efficiency of GMM
- A test for bivariate normality with applications in microeconometric models
- Maximum entropy autoregressive conditional heteroskedasticity model
- Testing nonnested Euler conditions with quadrature-based methods of approximation
- Robust efficient method of moments
- Estimating the joint survival probabilities of married individuals
- “Smooth” Semiparametric Regression Analysis for Arbitrarily Censored Time-to-Event Data
- Estimation of some partially specified nonlinear models
- Semiparametric single-index panel data models with cross-sectional dependence
- Efficient estimation of moments in linear mixed models
- Gram-Charlier densities: a multivariate approach
- Correcting for covariate measurement error in logistic regression using nonparametric maximum likelihood estimation
- A Review of Nonparametric Time Series Analysis
- Regressions with Berkson errors in covariates -- a nonparametric approach
- Cross-validated SNP density estimates
- Identification and estimation in sequential, asymmetric, English auctions
- Bayesian local influence for survival models
- Combining micro and macro unemployment duration data
- Estimation of the binary response model using a mixture of distributions estimator (MOD)
- Generalized Linear Latent Variable Models with Flexible Distribution of Latent Variables
- Distribution free estimation of heteroskedastic binary response models using probit/logit criterion functions
- Estimation of stochastic volatility models with diagnostics
- Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study
- The relative efficiency of method of moments estimators
- Semiparametric efficiency in GMM models with auxiliary data
- On the stability of the constant relative risk aversion (CRRA) utility under high degrees of uncertainty
- Semiparametric models with single-index nuisance parameters
- Modeling long memory in stock market volatility
- NONPARAMETRIC ESTIMATION OF DYNAMIC PANEL MODELS WITH FIXED EFFECTS
- Semiparametric estimation of the type-3 Tobit model
- A Maximum Likelihood Approach to Density Estimation with Semidefinite Programming
- Robust efficient method of moments estimation
- A discrete-time model for daily S\&P500 returns and realized variations: jumps and leverage effects
- NONPARAMETRIC IDENTIFICATION OF ACCELERATED FAILURE TIME COMPETING RISKS MODELS
- Score tests of normality in bivariate probit models
- Volume, volatility, and leverage: A dynamic analysis
- Semi-nonparametric cointegration testing
- Simulated minimum Hellinger distance estimation of stochastic volatility models
- Estimation of dynamic models with nonparametric simulated maximum likelihood
- A random linear functional approach to efficiency bounds
- Bivariate non-normality in the sample selection model
- Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order
- A NONPARAMETRIC SIMULATED MAXIMUM LIKELIHOOD ESTIMATION METHOD
- Qualitative and asymptotic performance of SNP density estimators
- Semiparametric qualitative response model estimation with unknown heteroscedasticity or instrumental variables
- Estimating continuous-time stochastic volatility models of the short-term interest rate
- Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE
- The Bierens test under data dependence
- Generalized linear mixed model with a penalized Gaussian mixture as a random effects distribution
- Semiparametric estimation of count regression models
- Semi-nonparametric estimation of binary response models with an application to natural resource valuation
- A moment-adjusted imputation method for measurement error models
- NONPARAMETRIC ESTIMATES OF OPTION PRICES AND RELATED QUANTITIES
- Indirect inference in fractional short-term interest rate diffusions
- Inference in semiparametric conditional moment models with partial identification
- Linear Mixed Models with Flexible Distributions of Random Effects for Longitudinal Data
- SEMI-NONPARAMETRIC INTERVAL-CENSORED MIXED PROPORTIONAL HAZARD MODELS: IDENTIFICATION AND CONSISTENCY RESULTS
- Robust Misspecification Tests for the Heckman's Two-Step Estimator
- Comparing principal stratification and selection models in parametric causal inference with nonignorable missingness
- hpa
- Two-step series estimation of sample selection models
- Seminonparametric Bayesian estimation of the asymptotically ideal production model
- Covariate Measurement Error in the Cox Model: A Simulation Study
- Nonparametric likelihood ratio model selection tests between parametric likelihood and moment condition models
- A Semiparametric Likelihood Approach to Joint Modeling of Longitudinal and Time-to-Event Data
- Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution
- Consistent nonparametric hypothesis tests with an application to Slutsky symmetry
- Likelihood and pseudo-likelihood methods for semiparametric joint models for a primary endpoint and longitudinal data
- A new semiparametric spatial model for panel time series
- Frontier estimation in the presence of measurement error with unknown variance
- Latent Variable Modelling: A Survey*
- Bayesian inference in a sample selection model
- Sieve \(M\) inference on irregular parameters
- Goodness-of-fit tests in mixed models
- ARCH modeling in finance. A review of the theory and empirical evidence
- Semiparametric estimation of censored selection models with a nonparametric selection mechanism
- A framework for estimating dynamic, unobserved effects panel data models with possible feedback to future explanatory variables
- Flexible modeling of survival data with covariates subject to detection limits via multiple imputation
- Semi-nonparametric estimation of independently and identically repeated first-price auctions via an integrated simulated moments method
- Semiparametric robust estimation of truncated and censored regression models
- Cox regression for current status data with mismeasured covariates
- Simulating from polynomial-normal distributions
- A structural labour supply model with flexible preferences.
- Further exploration into the valid regions of Gram-Charlier densities
- Comparison of nonparametric methods in nonlinear mixed effects models
- Title not available (Why is that?)
- Easy and flexible mixture distributions
- Assessing the value of Hermite densities for predictive distributions
- A Longitudinal Measurement Error Model with a Semicontinuous Covariate
- Approximate maximum likelihood estimation in linear regression
- Addressing overdispersion and zero-inflation for clustered count data via new multilevel heterogenous hurdle models
- On the estimation of treatment effects with endogenous misreporting
- Maximum approximate likelihood estimation in accelerated failure time model for interval‐censored data
- CONSISTENCY AND ASYMPTOTIC NORMALITY OF SIEVE ML ESTIMATORS UNDER LOW-LEVEL CONDITIONS
- Estimation and inference for the counterfactual distribution and quantile functions in continuous treatment models
- Nonparametric Bayes subject to overidentified moment conditions
- A practical guide to compact infinite dimensional parameter spaces
- A single-index model procedure for interpolation intervals in time series
- Missing link in generalized linear problems
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