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subject:"Simulation"
~isPartOf:"Journal of econometrics"
~isPartOf:"European journal of operational research : EJOR"
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Simulation
Estimation theory
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Journal of econometrics
European journal of operational research : EJOR
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1
Kernel quantile estimators for nested simulation with application to portfolio value-at-risk measurement
Liu, Xiaoyu
;
Yan, Xing
;
Zhang, Kun
- In:
European journal of operational research : EJOR
312
(
2024
)
3
,
pp. 1168-1177
Persistent link: https://www.econbiz.de/10014456483
Saved in:
2
A simulation-based method for estimating systemic risk measures
Ye, Wuyi
;
Zhou, Yi
;
Chen, Pengzhan
;
Wu, Bin
- In:
European journal of operational research : EJOR
313
(
2024
)
1
,
pp. 312-324
Persistent link: https://www.econbiz.de/10014456563
Saved in:
3
Estimation and inference in factor copula models with exogenous covariates
Mayer, Alexander
;
Wied, Dominik
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1500-1521
Persistent link: https://www.econbiz.de/10014471408
Saved in:
4
Simulation designs for production frontiers
Khezrimotlagh, Dariush
- In:
European journal of operational research : EJOR
303
(
2022
)
3
,
pp. 1321-1334
Persistent link: https://www.econbiz.de/10013366206
Saved in:
5
Pareto set estimation with guaranteed probability of correct selection
Sigrún Andradóttir
;
Lee, Judy S.
- In:
European journal of operational research : EJOR
292
(
2021
)
1
,
pp. 286-298
Persistent link: https://www.econbiz.de/10012495438
Saved in:
6
BLP estimation using Laplace transformation and overlapping simulation draws
Hong, Han
;
Li, Huiyu
;
Li, Jessie
- In:
Journal of econometrics
222
(
2021
)
1,1
,
pp. 56-72
Persistent link: https://www.econbiz.de/10012619341
Saved in:
7
Estimation of endogenously sampled time series : the case of commodity price speculation in the steel market
Hall, George J.
;
Rust, John
- In:
Journal of econometrics
222
(
2021
)
1,1
,
pp. 219-243
Persistent link: https://www.econbiz.de/10012619398
Saved in:
8
Empirical asset pricing with multi-period disaster risk : a simulation-based approach
Sönksen, Jantje
;
Grammig, Joachim
- In:
Journal of econometrics
222
(
2021
)
1,3
,
pp. 805-832
Persistent link: https://www.econbiz.de/10012619790
Saved in:
9
A comparison of tail dependence estimators
Supper, Hendrik
;
Irresberger, Felix
;
Weiß, Gregor
- In:
European journal of operational research : EJOR
284
(
2020
)
2
,
pp. 728-742
Persistent link: https://www.econbiz.de/10012238789
Saved in:
10
Virtual Historical Simulation for estimating the conditional VaR of large portfolios
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 356-380
Persistent link: https://www.econbiz.de/10012482777
Saved in:
11
Optimal unbiased estimation for expected cumulative discounted cost
Cui, Zhenyu
;
Fu, Michael
;
Peng, Yijie
;
Zhu, Lingjiong
- In:
European journal of operational research : EJOR
286
(
2020
)
2
,
pp. 604-618
Persistent link: https://www.econbiz.de/10012291551
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12
Simulation-based estimation of the real demand in bike-sharing systems in the presence of censoring
Negahban, Ashkan
- In:
European journal of operational research : EJOR
277
(
2019
)
1
,
pp. 317-332
Persistent link: https://www.econbiz.de/10012015035
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13
The Song rule outperforms optimal-batch-size variance estimators in simulation output analysis
Song, Wheyming Tina
- In:
European journal of operational research : EJOR
275
(
2019
)
3
,
pp. 1072-1082
Persistent link: https://www.econbiz.de/10011993654
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14
Two-stage estimation of the impact of contextual variables in stochastic frontier production function models using Data Envelopment Analysis : second stage OLS versus bootstrap app...
Banker, Rajiv D.
;
Natarajan, Ram
;
Zhang, Daqun
- In:
European journal of operational research : EJOR
278
(
2019
)
2
,
pp. 368-384
Persistent link: https://www.econbiz.de/10012102539
Saved in:
15
Combining p-values to test for multiple structural breaks in cointegrated regressions
Bergamelli, Michele
;
Bianchi, Annamaria
;
Khalaf, Lynda
; …
- In:
Journal of econometrics
211
(
2019
)
2
,
pp. 461-482
Persistent link: https://www.econbiz.de/10012303823
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16
Indirect inference with a non-smooth criterion function
Frazier, David T.
;
Oka, Tatsushi
;
Zhu, Dan
- In:
Journal of econometrics
212
(
2019
)
2
,
pp. 623-645
Persistent link: https://www.econbiz.de/10012304119
Saved in:
17
Penalized indirect inference
Blasques, Francisco
;
Duplinskiy, Artem
- In:
Journal of econometrics
205
(
2018
)
1
,
pp. 34-54
Persistent link: https://www.econbiz.de/10012110237
Saved in:
18
The asymptotic properties of GMM and indirect inference under second-order identification
Dovonon, Prosper
;
Hall, Alastair R.
- In:
Journal of econometrics
205
(
2018
)
1
,
pp. 76-111
Persistent link: https://www.econbiz.de/10012110241
Saved in:
19
Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
205
(
2018
)
2
,
pp. 381-401
Persistent link: https://www.econbiz.de/10012110307
Saved in:
20
Smooth approximations to monotone concave functions in production analysis : an alternative to nonparametric concave least squares
Tsionas, Efthymios G.
;
Izzeldin, Marwan
- In:
European journal of operational research : EJOR
271
(
2018
)
3
,
pp. 797-807
Persistent link: https://www.econbiz.de/10011903217
Saved in:
21
Consistent inference in fixed-effects stochastic frontier models
Belotti, Federico
;
Ilardi, Giuseppe
- In:
Journal of econometrics
202
(
2018
)
2
,
pp. 161-177
Persistent link: https://www.econbiz.de/10011974559
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22
Regression and Kriging metamodels with their experimental designs in simulation : a review
Kleijnen, Jack P. C.
- In:
European journal of operational research : EJOR
256
(
2017
)
1
,
pp. 1-16
Persistent link: https://www.econbiz.de/10011611105
Saved in:
23
Higher-order properties of approximate estimators
Kristensen, Dennis
;
Salanié, Bernard
- In:
Journal of econometrics
198
(
2017
)
2
,
pp. 189-208
Persistent link: https://www.econbiz.de/10011818777
Saved in:
24
Simulated minimum distance estimation of dynamic models with errors-in-variables
Gospodinov, Nikolaj
;
Komunjer, Ivana
;
Ng, Serena
- In:
Journal of econometrics
200
(
2017
)
2
,
pp. 181-193
Persistent link: https://www.econbiz.de/10011917176
Saved in:
25
When, where and how to estimate persistent and transient efficiency in stochastic frontier panel data models
Badunkenko, Oleg
;
Kumbhakar, Subal
- In:
European journal of operational research : EJOR
255
(
2016
)
1
,
pp. 272-287
Persistent link: https://www.econbiz.de/10011530868
Saved in:
26
Switching regression metamodels in stochastic simulation
Santos, M. Isabel Reis dos
;
Santos, Pedro M. Reis dos
- In:
European journal of operational research : EJOR
251
(
2016
)
1
,
pp. 142-147
Persistent link: https://www.econbiz.de/10011446236
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27
Sensitivity analysis : a review of recent advances
Borgonovo, Emanuele
;
Plischke, Elmar
- In:
European journal of operational research : EJOR
249
(
2016
)
3
,
pp. 869-887
Persistent link: https://www.econbiz.de/10011412462
Saved in:
28
Simulated maximum likelihood estimation for discrete choices using transformed simulated frequencies
Lee, Donghoon
;
Song, Kyungchul
- In:
Journal of econometrics
187
(
2015
)
1
,
pp. 131-153
Persistent link: https://www.econbiz.de/10011498792
Saved in:
29
Testing inference in heteroskedastic fixed effects models
Uchôa, Carlos F. A.
;
Cribari-Neto, Francisco
;
Menezes, …
- In:
European journal of operational research : EJOR
235
(
2014
)
3
,
pp. 660-670
Persistent link: https://www.econbiz.de/10010341228
Saved in:
30
Identification robust inference in cointegrating regressions
Khalaf, Lynda
;
Urga, Giovanni
- In:
Journal of econometrics
182
(
2014
)
2
,
pp. 385-396
Persistent link: https://www.econbiz.de/10010497745
Saved in:
31
Run length not required : optimal-mse dynamic batch means estimators for steady-state simulations
Song, Wheyming Tina
;
Chih, Mingchang
- In:
European journal of operational research : EJOR
229
(
2013
)
1
,
pp. 114-123
Persistent link: https://www.econbiz.de/10009757783
Saved in:
32
Error estimation properties of Gaussian process models in stochastic simulations
Hernandez, Andres F.
;
Grover, Martha A.
- In:
European journal of operational research : EJOR
228
(
2013
)
1
,
pp. 131-140
Persistent link: https://www.econbiz.de/10009734137
Saved in:
33
Information criteria for impulse response function matching estimation of DSGE models
Hall, Alastair R.
;
Inoue, Atsushi
;
Nason, James Michael
; …
- In:
Journal of econometrics
170
(
2012
)
2
,
pp. 499-518
Persistent link: https://www.econbiz.de/10009686765
Saved in:
34
Estimation of dynamic models with nonparametric simulated maximum likelihood
Kristensen, Dennis
;
Shin, Yongseok
- In:
Journal of econometrics
167
(
2012
)
1
,
pp. 76-94
Persistent link: https://www.econbiz.de/10009551440
Saved in:
35
Folded overlapping variance estimators for simulation
Meterelliyoz, Melike
;
Alexopoulos, Christos
;
Goldsman, …
- In:
European journal of operational research : EJOR
220
(
2012
)
1
,
pp. 135-146
Persistent link: https://www.econbiz.de/10009531558
Saved in:
36
Semi-nonparametric estimation of independently and identically repeated first-price auctions via an integrated simulated moments method
Bierens, Herman J.
;
Song, Hosin
- In:
Journal of econometrics
168
(
2012
)
1
,
pp. 108-119
Persistent link: https://www.econbiz.de/10009612786
Saved in:
37
Extended dynamic partial-overlapping batch means estimators for steady-state simulations
Song, Wheyming T.
;
Chih, Mingchang
- In:
European journal of operational research : EJOR
203
(
2010
)
3
,
pp. 640-651
Persistent link: https://www.econbiz.de/10003944220
Saved in:
38
Using subsystem linear regression metamodels in stochastic simulation
Santos, Pedro M. Reis dos
;
Santos, M. Isabel Reis dos
- In:
European journal of operational research : EJOR
196
(
2009
)
3
,
pp. 1031-1040
Persistent link: https://www.econbiz.de/10003825090
Saved in:
39
Simulation-based estimation of peer effects
Krauth, Brian V.
- In:
Journal of econometrics
133
(
2006
)
1
,
pp. 243-271
Persistent link: https://www.econbiz.de/10003354576
Saved in:
40
A fast subsampling method for nonlinear dynamic models
Hong, Han
;
Scaillet, Olivier
- In:
Journal of econometrics
133
(
2006
)
2
,
pp. 557-578
Persistent link: https://www.econbiz.de/10003359579
Saved in:
41
Testing for r versus r - 1 cointegrating vectors
Snell, Andy
- In:
Journal of econometrics
88
(
1999
)
1
,
pp. 151-191
Persistent link: https://www.econbiz.de/10001250276
Saved in:
42
Tests for changes in models with a polynomial trend
Kuan, Chung-ming
- In:
Journal of econometrics
84
(
1998
)
1
,
pp. 75-91
Persistent link: https://www.econbiz.de/10001234511
Saved in:
43
Why are estimates of agricultural supply response so variable?
Diebold, Francis X.
- In:
Journal of econometrics
76
(
1997
)
1
,
pp. 357-373
Persistent link: https://www.econbiz.de/10001211352
Saved in:
44
A smooth likelihood simulator for dynamic disequilibrium models
Lee, Lung-fei
- In:
Journal of econometrics
78
(
1997
)
2
,
pp. 257-294
Persistent link: https://www.econbiz.de/10001219976
Saved in:
45
The asymptotic null distribution of the Box-Pierce q-statistic for random variables with infinite variance : an application to German stock returns
Runde, Ralf
- In:
Journal of econometrics
78
(
1997
)
2
,
pp. 205-216
Persistent link: https://www.econbiz.de/10001219989
Saved in:
46
Simulation estimation of dynamic switching regression and dynamic disequilibrium models : some Monte Carlo results
Lee, Lung-fei
- In:
Journal of econometrics
78
(
1997
)
2
,
pp. 179-204
Persistent link: https://www.econbiz.de/10001219990
Saved in:
47
Estimation methods for male labor supply functions : how to take account of nonlinear taxes
Blomquist, Nils Sören
- In:
Journal of econometrics
70
(
1996
)
2
,
pp. 383-405
Persistent link: https://www.econbiz.de/10001192330
Saved in:
48
The adequacy of asymptotic approximations in the near-integrated autoregressive model with dependent errors
Perron, Pierre
- In:
Journal of econometrics
70
(
1996
)
2
,
pp. 317-350
Persistent link: https://www.econbiz.de/10001192345
Saved in:
49
Testing for structural breaks in cointegrated relationships
Gregory, Allan W.
- In:
Journal of econometrics
71
(
1996
)
1
,
pp. 321-341
Persistent link: https://www.econbiz.de/10001194729
Saved in:
50
Cointegration and speed of convergence to equilibrium
Pesaran, M. Hashem
- In:
Journal of econometrics
71
(
1996
)
1
,
pp. 117-143
Persistent link: https://www.econbiz.de/10001194740
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