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Marginal likelihood estimation with the cross-entropy method

Chan, Joshua; Eisenstat, Eric - In: Econometric reviews 34 (2015) 1/5, pp. 256-285

Persistent link: https://www.econbiz.de/10011373293

Estimating and predicting the general random effects model

Kouassi, Eugène; Kamdem, Alain Constant; Mougoué, Mbodja - In: Journal of forecasting 33 (2014) 4, pp. 270-283

Persistent link: https://www.econbiz.de/10010425747

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

Dēmos, Antōnēs A.; Kyriakopoulou, Dimitra - 2018

Persistent link: https://www.econbiz.de/10011992635

Estimation of holding periods applied to the case of short and leveraged ETFs

Schubert, Leo; Schubert, David - In: Atlantic review of economics : AROE 1 (2017)

The estimation of the holding periods of financial products has to be done in a dynamic process in which the size of the observation time interval influences the result. Small intervals will produce smaller average holding periods than bigger ones. The approach developed in this paper offers the...

Persistent link: https://www.econbiz.de/10011890392

Maximum simulated likelihood estimation of the panel sample selection model

Lai, Hung-Pin; Tsay, Wen-jen - In: Econometric reviews 37 (2018) 6/10, pp. 744-759

Persistent link: https://www.econbiz.de/10012040407

Likelihood inference for dynamic linear models with Markov switching parameters : on the efficiency of the Kim filter

Kim, Young Min; Kang, Kyu Ho - In: Econometric reviews 38 (2019) 10, pp. 1109-1130

Persistent link: https://www.econbiz.de/10012181397

An alternative quasi likelihood approach, Bayesian analysis and data-based inference for model specification

Kim, Chae-yŏng - In: Journal of econometrics 178 (2014) 1, pp. 132-145

Persistent link: https://www.econbiz.de/10010255455

The effective sample size

Berger, James O.; Bayarri, M. J.; Pericchi, Luis R. - In: Econometric reviews 33 (2014) 1/4, pp. 197-217

Persistent link: https://www.econbiz.de/10010358312

Monte Carlo forecast evaluation with persistent data

Khalaf, Lynda; Saunders, Charles J. - In: International journal of forecasting 33 (2017) 1, pp. 1-10

Persistent link: https://www.econbiz.de/10011754679

A non-iterative Bayesian sampling algorithm for linear regression models with scale mixtures of normal distributions

Yang, Fengkai; Yuan, Haijing - In: Computational economics 49 (2017) 4, pp. 579-597

Persistent link: https://www.econbiz.de/10011762138