Search Results - subject:"Estimation"

Copula tensor count autoregressions for modeling multidimensional integer-valued time series

Armillotta, Mirko; Gorgi, Paolo; Lucas, André - 2025

identification constraints for parameter estimation. We provide an asymptotic theory for a Two-Stage Maximum Likelihood Estimator (2 … parameter estimation. In this way it significantly advances the modeling of count tensors. An application to crime time series …

Persistent link: https://www.econbiz.de/10015195717

Regularized maximum likelihood estimation for the random coefficients model

Dunker, Fabian; Mendoza, Emil; Reale, Marco - In: Econometric reviews 44 (2025) 2, pp. 192-213

Persistent link: https://www.econbiz.de/10015196597

Testing for nonlinear cointegration under heteroskedasticity

Hanck, Christoph; Massing, Till Philipp Georg - In: Econometric reviews 44 (2025) 4, pp. 512-543

Persistent link: https://www.econbiz.de/10015196620

The shifted GARCH model with affine variance : applications in pricing

Escobar, Marcos; Hou, Yangyang; Stentoft, Lars - In: Finance research letters 71 (2025), pp. 1-8

Persistent link: https://www.econbiz.de/10015197067

Point-identifying semiparametric sample selection models with no excluded variable

Kim, Dongwoo; Lee, Young Jun - 2025

Sample selection is pervasive in applied economic studies. This paper develops semiparametric selection models that achieve point identification without relying on exclusion restrictions, an assumption long believed necessary for identification in semiparametric selection models. Our...

Persistent link: https://www.econbiz.de/10015198476