Results 251 to 260 of about 325,935 (288)
QUASI-INDIRECT INFERENCE FOR DIFFUSION PROCESSES [PDF]
Econometric Theory, 1998 We discuss an estimation procedure for continuous-time models based on discrete sampled data with a fixed unit of time between two consecutive observations. Because in general the conditional likelihood of the model cannot be derived, an indirect inference procedure following Gouriéroux, Monfort, and Renault (1993, Journal of Applied Econometrics
Broze, Laurence +2 more
openaire +2 more sources
Some of the next articles are maybe not open access.
Related searches:
Related searches:
Kernel-based Indirect Inference
Journal of Financial Econometrics, 2003The class of parametric dynamic latent variable models is becoming increasingly popular in finance and economics. Latent factor models, switching regimes models, stochastic volatility models, and dynamic disequilibrium models are only a few examples of this class of model. Inference in this class may be difficult since the computation of the likelihood
BILLIO, Monica, MONFORT A.
openaire +3 more sources
1997
AbstractThe method of Indirect Inference, binding function, indirect information, and indirect identification are introduced. Various versions of the method of Indirect Inference are defined and their asymptotic properties are given. Some second‐order properties are also examined. Applications are proposed.
Christian Gouriéroux, Alain Monfort
openaire +1 more source
AbstractThe method of Indirect Inference, binding function, indirect information, and indirect identification are introduced. Various versions of the method of Indirect Inference are defined and their asymptotic properties are given. Some second‐order properties are also examined. Applications are proposed.
Christian Gouriéroux, Alain Monfort
openaire +1 more source
Encompassing and indirect inference
Journal of the Italian Statistical Society, 1993Summary: In the literature on encompassing (see, e.g., [\textit{G. E. Mizon} and \textit{J.-F. Richard}, Econometrica 54, 657--678 (1986; Zbl 0625.62105); \textit{D. F. Hendry} and \textit{J. F. Richard}, ``Recent developments in the theory of encompassing'', in: Contributions to operation research and econometrics.
Gouriéroux, Christian, Monfort, Alain
openaire +1 more source
Constrained indirect inference estimation [PDF]
, 2001 We develop generalised indirect inference procedures that handle equality and inequality constraints on the auxiliary model parameters. We also show that the asymptotic efficiency of such estimators can never decrease by explicitly taking into account Lagrange multipliers associated with additional equality constraints, regardless of whether the ...
Giorgio Calzorali +2 more
openaire +2 more sources
Estimating binary multilevel models through indirect inference
Computational Statistics & Data Analysis, 1999zbMATH Open Web Interface contents unavailable due to conflicting licenses.
MEALLI, FABRIZIA, RAMPICHINI, CARLA
openaire +3 more sources
Making Inferences with Indirect Measurements
Quality Engineering, 2005The distribution of part quality is examined for parts produced by a manufacturing process when only indirect quality measurements are available. A proposed method uses the relationship between the indirect and direct measurements, as well as a key prop..
Todd Graves, Michael Hamada
openaire +1 more source
Nonconscious indirect inferences in encoding.
Journal of Experimental Psychology: General, 1994Indirect (transitive) inference (i.e., if A is related to B, and B is related to C, then C is related to A) is a ubiquitous component of thinking and reasoning. This research demonstrates that a mechanism at least functionally similar to drawing indirect inferences can also be observed in unintentional processes of encoding.
P, Lewicki, T, Hill, M, Czyzewska
openaire +2 more sources
The purpose of this master's thesis is to present the Indirect Inference principal in the scope of the analysis of three basic Indirect Inference Estimators, as they appear in the relevant bibliografiic references, and some of their asymptotic and finite sample properties.
openaire +1 more source
openaire +1 more source
Indirect Inference for ARFIMA Processes
IFAC Proceedings Volumes, 1998Abstract Inference for ARFIMA processes is more complicated than that for ordinary ARMA models. This has limited the application of these processes in the practice of modelling economic time series. In this paper, a procedure of indirect estimation for fractionally integrated processes is proposed and discussed.
openaire +1 more source