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Likelihood-based estimation in a panel setting : robustness, redundancy and validity of copulas

Prokhorov, Artem; Schmidt, Peter - In: Journal of econometrics 153 (2009) 1, pp. 93-104

Persistent link: https://www.econbiz.de/10003892661

GMM redundancy results for general missing data problems

Prokhorov, Artem; Schmidt, Peter - In: Journal of econometrics 151 (2009) 1, pp. 47-55

Persistent link: https://www.econbiz.de/10003855081

Second order bias of quasi-MLE for covariance structure models

Prokhorov, Artem - In: Economics letters 114 (2012) 2, pp. 195-197

Persistent link: https://www.econbiz.de/10009547279

On relative efficiency of quasi-MLE and GMM estimators of covariance structure models

Prokhorov, Artem - In: Economics letters 102 (2009) 1, pp. 4-6

Persistent link: https://www.econbiz.de/10003822115

GEL Estimation for Heavy-Tailed GARCH Models with Robust Empirical Likelihood Inference

Hill, Jonathan B.; Prokhorov, Artem - 2013

We construct a Generalized Empirical Likelihood estimator for a GARCH(1,1) model with a possibly heavy tailed error. The estimator imbeds tail-trimmed estimating equations allowing for over-identifying conditions, asymptotic normality, efficiency and empirical likelihood based confidence regions...

Persistent link: https://www.econbiz.de/10014176854

Three essays on generalized method of moments

Prokhorov, Artem - 2006

Persistent link: https://www.econbiz.de/10009242596

Consistent estimation of linear regression models using matched data

Hirukawa, Masayuki; Prokhorov, Artem - In: Journal of econometrics 203 (2018) 2, pp. 344-358

Persistent link: https://www.econbiz.de/10011974687

GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference

Hill, Jonathan B.; Prokhorov, Artem - In: Journal of econometrics 190 (2016) 1, pp. 18-45

Persistent link: https://www.econbiz.de/10011591613

Estimation of semi- and nonparametric stochastic frontier models with endogenous regressors

Prokhorov, Artem; Tran, Kien C.; Tsionas, Efthymios G. - In: Empirical economics : a quarterly journal of the … 60 (2021) 6, pp. 3043-3068

Persistent link: https://www.econbiz.de/10012585764

Estimating asymmetric dynamic distributions in high dimensions

Anatolyev, Stanislav; Khabibullin, Renat; Prokhorov, Artem - In: Asymmetric dependence in finance : diversification, …, (pp. 169-197). 2018

Persistent link: https://www.econbiz.de/10011978496