Estimation of dynamic models with nonparametric simulated maximum likelihood

Dennis Kristensen, Yongseok Shin

Type: Article

Publication Date: 2011-11-11

Citations: 64

DOI: https://doi.org/10.1016/j.jeconom.2011.09.042

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Journal of Econometrics - View
UCL Discovery (University College London) - View - PDF

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+	Maximum Likelihood Estimation of Misspecified Dynamic Models	1984	Halbert White
+ PDF Chat	Asymptotic properties of Monte Carlo estimators of diffusion processes	2005	Jérôme Detemple René García Marcel Rindisbacher
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+	Indirect likelihood inference	2011	Michael Creel Dennis Kristensen
+ PDF Chat	A NONPARAMETRIC SIMULATED MAXIMUM LIKELIHOOD ESTIMATION METHOD	2004	Jean‐David Fermanian Bernard Salanié
+ PDF Chat	Efficient estimation of general dynamic models with a continuum of moment conditions	2006	Marine Carrasco Mikhail Chernov Jean‐Pierre Florens Éric Ghysels
+	STATISTICAL INFERENCE WITH SIMULATED LIKELIHOOD FUNCTIONS	1999	Lung‐fei Lee
+ PDF Chat	Consistency and Unbiasedness of Certain Nonparametric Tests	1951	E. L. Lehmann
+	Problems with the Asymptotic Theory of Maximum Likelihood Estimation in Integrated and Cointegrated Systems	1995	Pentti Saikkonen