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Fourth order pseudo maximum likelihood methods

Holly, Alberto; Monfort, Alain; Rockinger, Michael - 2009

The objective of this paper is to extend the results on Pseudo Maximum Likelihood (PML) theory derived in Gourieroux, Monfort, and Trognon (GMT) (1984) to a situation where the first four conditional moments are specified. Such an extension is relevant in light of pervasive evidence that...

Persistent link: https://www.econbiz.de/10003970462

Fourth order pseudo maximum likelihood methods

Holly, Alberto; Monfort, Alain; Rockinger, Michael - 2010

Persistent link: https://www.econbiz.de/10009406538

Pitfalls in the estimation of continuous time interest rate models : the case of the CIR model

Gouriéroux, Christian; Monfort, Alain - In: Annals of economics and statistics 109/110 (2013), pp. 25-61

Persistent link: https://www.econbiz.de/10009779723

Fourth order pseudo maximum likelihood methods

Holly, Alberto; Monfort, Alain; Rockinger, Michael - In: Journal of econometrics 162 (2011) 2, pp. 278-293

Persistent link: https://www.econbiz.de/10009270633

A Quadratic Kalman Filter

Monfort, Alain; Renne, Jean-Paul; Roussellet, Guillaume - In: Journal of econometrics 187 (2015) 1, pp. 43-56

Persistent link: https://www.econbiz.de/10011498735

Statistical inference for independent component analysis : application to structural VAR models

Gouriéroux, Christian; Monfort, Alain; Renne, Jean-Paul - In: Journal of econometrics 196 (2017) 1, pp. 111-126

Persistent link: https://www.econbiz.de/10011743785

Composite indirect inference with application to corporate risks

Gouriéroux, Christian; Monfort, Alain - 2016

Persistent link: https://www.econbiz.de/10012196256

Composite indirect inference with application to corporate risks

Gouriéroux, Christian; Monfort, Alain - 2017

Persistent link: https://www.econbiz.de/10012197830

Statistical inference for independent component analysis : application to structural VAR models

Gouriéroux, Christian; Monfort, Alain; Renne, Jean-Paul - 2017 - September 2016, revised version

Persistent link: https://www.econbiz.de/10012197832

Consistent pseudo-maximum likelihood estimators and groups of transformations

Gouriéroux, Christian; Monfort, Alain; Zakoïan, … - 2018 - Revised version, June 2018

Persistent link: https://www.econbiz.de/10012201146