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Alternative Estimators of FIML Covariance Matrix: A Monte Carlo Stud y.
Calzolari, Giorgio; Panattoni, Lorenzo - In: Econometrica 56 (1988) 3, pp. 701-14
Persistent link: https://www.econbiz.de/10005130129
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Likelihood-Based Estimation of Latent Generalized ARCH Structures
Fiorentini, Gabriele; Sentana, Enrique; Shephard, Neil - In: Econometrica 72 (2004) 5, pp. 1481-1517
GARCH models are commonly used as latent processes in econometrics, financial economics, and macroeconomics. Yet no exact likelihood analysis of these models has been provided so far. In this paper we outline the issues and suggest a Markov chain Monte Carlo algorithm which allows the...
Persistent link: https://www.econbiz.de/10005231455
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A Note on the Numerical Results by Goldberger, Nagar, and Odeh.
Bianchi, Carlo; Calzolari, Giorgio; Corsi, Paolo - In: Econometrica 47 (1979) 2, pp. 505-06
Persistent link: https://www.econbiz.de/10005332570
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A Note on the Variance of Ex-Post Forecasts in Econometric Models.
Calzolari, Giorgio - In: Econometrica 49 (1981) 6, pp. 1593-95
Persistent link: https://www.econbiz.de/10005332770
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A Program for Stochastic Simulation of Econometric Models.
Bianchi, Carlo; Calzolari, Giorgio; Corsi, Paolo - In: Econometrica 46 (1978) 1, pp. 235-36
Persistent link: https://www.econbiz.de/10005332829
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Control Variates to Estimate the Reduced Form Variances in Econometric Models.
Calzolari, Giorgio; Sterbenz, Frederic P - In: Econometrica 54 (1986) 6, pp. 1483-90
Persistent link: https://www.econbiz.de/10005333047
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Forecast Variance in Dynamic Simulation of Simultaneous Equation Models.
Calzolari, Giorgio - In: Econometrica 55 (1987) 6, pp. 1473-76
Persistent link: https://www.econbiz.de/10005231256