Search Results - subject:"maximum likelihood estimator"

Multivariate student versus multivariate Gaussian regression models with application to finance

Thi Huong An Nguyen; Ruiz-Gazen, Anne; Thomas-Agnan, … - In: Journal of risk and financial management : JRFM 12 (2019) 1/28, pp. 1-21

maximum likelihood estimator of the covariance matrix in the UT model is asymptotically biased and propose an unbiased version …

Persistent link: https://www.econbiz.de/10012022338

Autoregressive model with spatial dependence and missing data

Zhou, Jing; Liu, Jin; Wang, Feifei; Wang, Hansheng - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 1, pp. 28-34

Persistent link: https://www.econbiz.de/10012804080

Jackknife bias reduction for simulated maximum likelihood estimator of discrete choice models

Hahn, Jinyong; Liu, Xueyuan - In: Economics letters 219 (2022), pp. 1-4

Persistent link: https://www.econbiz.de/10013470559

On the iterated estimation of dynamic discrete choice games

Bugni, Federico A.; Bunting, Jackson - 2018

We study the asymptotic properties of a class of estimators of the structural parameters in dynamic discrete choice games. We consider K-stage policy iteration (PI) estimators, where K denotes the number of policy iterations employed in the estimation. This class nests several estimators...

Persistent link: https://www.econbiz.de/10011941442