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  • Search: subject:"Information-based inference"
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Year of publication
Subject
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Generalized method of moments 2 Implied probabilities 2 Information-based inference 2 Estimation theory 1 Linear rational expectation models 1 Method of moments 1 Momentenmethode 1 Philips curve 1 Probability theory 1 Rational expectations 1 Rationale Erwartung 1 Schätztheorie 1 Statistical theory 1 Statistische Methodenlehre 1 Wahrscheinlichkeitsrechnung 1 Weak identification 1
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Online availability
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Free 1 Undetermined 1
Type of publication
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Article 1 Book / Working Paper 1
Type of publication (narrower categories)
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 2
Author
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Guay, Alain 2 Pelgrin, Florian 2
Institution
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Centre Interuniversitaire sur le Risque, les Politiques Économiques et l'Emploi (CIRPÉE) 1
Published in...
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Cahiers de recherche 1 Econometric reviews 1
Source
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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Using implied probabilities to improve the estimation of unconditional moment restrictions for weakly dependent data
Guay, Alain; Pelgrin, Florian - In: Econometric reviews 35 (2016) 1/4, pp. 344-372
Persistent link: https://www.econbiz.de/10011549937
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Using Implied Probabilities to Improve Estimation with Unconditional Moment Restrictions
Guay, Alain; Pelgrin, Florian - Centre Interuniversitaire sur le Risque, les Politiques … - 2007
In this paper, we investigate the information content of implied probabilities (Back and Brown, 1993) to improve estimation in unconditional moment conditions models. We propose and evaluate two 3-step euclidian empirical likelihood estimators and their bias-correction versions for weakly...
Persistent link: https://www.econbiz.de/10005015234
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