Search Results - subject:"Closed-form estimation"

Series estimation for single-index models under constraints

Dong, Chaohua; Gao, Jiti; Peng, Bin - 2018

Persistent link: https://www.econbiz.de/10012583316

When simplicity offers a benefit, not a cost : closed-form estimation of the GARCH(1,1) model that enhances the efficiency of quasi-maximum likelihood

Prono, Todd - 2019 - This version: February 2019

Simple, multi-step estimators are developed for the popular GARCH(1,1) model, where these estimators are either available entirely in closed form or dependent upon a preliminary estimate from, for example, quasi-maximum likelihood. Identification sources to asymmetry in the model's innovations,...

Persistent link: https://www.econbiz.de/10012181040

Semiparametric single-index panel data models with cross-sectional dependence

Dong, Chaohua; Gao, Jiti; Peng, Bin - In: Journal of econometrics 188 (2015) 1, pp. 301-312

Persistent link: https://www.econbiz.de/10011500361

Closed-form estimators for finite-order ARCH models as simple and competitive alternatives to QMLE

Prono, Todd - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 22 (2018) 5, pp. 1-25

Persistent link: https://www.econbiz.de/10011965371