We explore the application of integrated nested Laplace approximations for the Bayesian estimation of stochastic volatility models characterized by long memory. The logarithmic variance persistence in these models is represented by a Fractional Gaussian Noise process, which we approximate as a...

This paper measures the impact of the number of Halton draws in excess of ⌈√𝑛⌉ on technical efficiency in the generalized true random effects (four-component) stochastic frontier model estimated by simulated maximum likelihood. A substantial set of Monte Carlo simulations demonstrates...