Simulation‐based likelihood inference for limited dependent processes

DOI10.1111/1368-423X.11010MaRDI QIDQ6166861zbMATH OpenFDO

Authors A. Manrique, Neil Shephard

Publication date 7 July 2023

Published in Econometrics Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1368-423X.11010

zbMATH Keywords

disequilibrium modelsMarkov chain Monte Carloscan samplerTobit model

Mathematics Subject Classification ID

Statistics (62-XX)

Cited in

(3)

• Forgetting the initial distribution for hidden Markov models
• Bayesian Conjugacy in Probit, Tobit, Multinomial Probit and Extensions: A Review and New Results
• Estimation of dynamic models with nonparametric simulated maximum likelihood

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