Simulation estimation of time-series models
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Cites work
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- Comparative Dynamics and Risk Premia in an Overlapping Generations Model
- Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
- Large Sample Properties of Generalized Method of Moments Estimators
- Simulation and the Asymptotics of Optimization Estimators
- Solution and Maximum Likelihood Estimation of Dynamic Nonlinear Rational Expectations Models
- Time to Build and Aggregate Fluctuations
Cited in
(47)- Switching equilibria: the present value model for stock prices revisited
- A simulation method for finite non-stationary time series
- Simulation-based estimation methods for financial time series models
- Perfect simulation of stationary equilibria
- A parameter estimation method for identified simultaneous equations models
- Inter-generational effect of parental time and its policy implications
- On the informational role of term structure in the US monetary policy rule
- The expected real return to equity
- Asset pricing with expectation shocks
- How large are hysteresis effects? Estimates from a Keynesian growth model
- Corporate cash holdings and credit line usage
- Estimation by simulation of monotone dynamical systems
- Limited participation and exchange rate dynamics: does theory meet the data?
- On the role of simulation in the statistical evaluation of econometric models
- Estimating nonlinear DSGE models by the simulated method of moments: with an application to business cycles
- Simulation-based estimation of dynamic models with continuous equilibrium solutions
- Estimating simultaneous equations models by a simulation technique
- SIMULATION AND ESTIMATION OF LONG MEMORY CONTINUOUS TIME MODELS
- Structural change tests for simulated method of moments.
- The relative efficiency of method of moments estimators
- Issue of the Annals of Econometrics on Indirect estimation methods in finance and economics
- Time to implement and aggregate fluctuations
- Aggregate investment in a business cycle model with adjustment costs
- Simulation based calibration using extended balanced augmented empirical likelihood
- Interaction effects in the adjustment cost function of firms
- Methods to estimate dynamic stochastic general equilibrium models
- Stochastic volatility in asset prices. Estimation with simulated maximum likelihood
- scientific article; zbMATH DE number 5560590 (Why is no real title available?)
- Indirect estimation of stochastic differential equation models: some computational experiments
- ACCOUNTING FOR THE RELATIONSHIP BETWEEN MONEY AND INTEREST RATES
- Estimation of dynamic models with nonparametric simulated maximum likelihood
- Structural stochastic volatility in asset pricing dynamics: estimation and model contest
- Nonparametric estimation of structural models for high-frequency currency market data
- Measuring high-frequency income risk from low-frequency data
- On the mean-reverting properties of target zone exchange rates: A cautionary note
- Through the looking glass: indirect inference via simple equilibria
- A Bayesian approach to dynamic macroeconomics
- Estimation of a structural stochastic volatility model of asset pricing
- Estimation of endogenously sampled time series: the case of commodity price speculation in the steel market
- Consistency properties of a simulation-based estimator for dynamic processes
- Penalized indirect inference
- Inside money, credit, and investment
- Credit rationing, risk aversion, and industrial evolution in developing countries
- High-dimensional simulation-based estimation
- Reconciling the term structure of interest rates with the consumption-based ICAP model
- What inventories tell us about aggregate fluctuations -- a tractable approach to \((S,s)\) policies
- Parameter estimation in stochastic scenario generation systems
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