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Tractable likelihood-based estimation of non-linear DSGE models

Kollmann, Robert - In: Economics letters 161 (2017), pp. 90-92

Persistent link: https://www.econbiz.de/10011903984

Tractable likelihood-based estimation of non-linear DSGE models

Kollmann, Robert - 2017

Persistent link: https://www.econbiz.de/10011735416

Bootstrap inference and diagnostics in state space models : with applications to dynamic macro models

Angelini, Giovanni; Cavaliere, Giuseppe; Fanelli, Luca - In: Journal of applied econometrics 37 (2022) 1, pp. 3-22

Persistent link: https://www.econbiz.de/10013165161

A new energy model to capture the behavior of energy price processes

Xu, Weijun; Sun, Qi; Xiao, Weilin - In: Economic Modelling 29 (2012) 5, pp. 1585-1591

Owing to the vague fluctuation of energy prices from time to time, a new energy model, which considers both the mean-reverting behavior and the long memory property, is proposed in this paper. Since the problem of estimating parameters, in discrete time for this model, plays a central role in...

Persistent link: https://www.econbiz.de/10010597504

Chapter 52. The Bootstrap

Horowitz, Joel L. - In: Handbook of econometrics : volume 5, (pp. 3159-3228). 2001

probabilities of hypothesis tests that are more accurate than the approximations of first-order asymptotic distribution theory. The … of the bootstrap in contexts of interest in econometrics. The chapter outlines the theory of the bootstrap, provides …

Persistent link: https://www.econbiz.de/10014024988

Finite-sample theory and bias correction of maximum likelihood estimators in the EGARCH model

Dēmos, Antōnēs A.; Kyriakopoulou, Dimitra - In: Journal of time series econometrics 11 (2019) 1, pp. 1-20

Persistent link: https://www.econbiz.de/10012022815

Multi-factor default correlation model estimation : enhancement with bootstrapping

Yang, Zhihui; Ray Majumder, Saikat; Shen, Weiwei; Karm, … - In: Journal of risk : JOR 26 (2024) 3, pp. 33-48

Persistent link: https://www.econbiz.de/10014487316

Conditional asymmetry in Power ARCH(∞) models

Royer, Julien - In: Journal of econometrics 234 (2023) 1, pp. 178-204

Persistent link: https://www.econbiz.de/10014364731

A new class of copulas involving geometric distribution : estimation and applications

Zhang, Kong-Sheng; Lin, Jin-Guan; Xu, Pei-Rong - In: Insurance / Mathematics & economics 66 (2016), pp. 1-10

Persistent link: https://www.econbiz.de/10011442646

Testing for homogeneity in mixture models

Gu, Jiaying; Koenker, Roger; Volgushev, Stanislav - In: Econometric theory 34 (2018) 4, pp. 850-895

Persistent link: https://www.econbiz.de/10011951435