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Simple inference on functionals of set-identified parameters defined by linear moments

Cho, JoonHwan; Russell, Thomas M. - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 2, pp. 563-578

Persistent link: https://www.econbiz.de/10015053428

Scalable inference for a full multivariate stochastic volatility model

Dellaportas, Petros; Titsias, Michalis K.; Petrova, Katerina - In: Journal of econometrics 232 (2023) 2, pp. 501-520

Persistent link: https://www.econbiz.de/10014340078

Frequentist inference in weakley identified dynamic stochastic general equilibrium models

Guerrón-Quintana, Pablo A.; Inoue, Atsushi; Kilian, Lutz - In: Quantitative economics : QE ; journal of the … 4 (2013) 2, pp. 197-229

Persistent link: https://www.econbiz.de/10010126204

Inference using simulated neural moments

Creel, Michael D. - In: Econometrics : open access journal 9 (2021) 4, pp. 1-15

This paper studies method of simulated moments (MSM) estimators that are implemented using Bayesian methods, specifically Markov chain Monte Carlo (MCMC). Motivation and theory for the methods is provided by Chernozhukov and Hong (2003). The paper shows, experimentally, that confidence intervals...

Persistent link: https://www.econbiz.de/10012642418

Inference for option panels in pure-jump settings

Andersen, Torben; Fusari, Nicola; Todorov, Viktor; … - In: Econometric theory 35 (2019) 5, pp. 901-942

Persistent link: https://www.econbiz.de/10012146164

Bayesian inference for mixed Gaussian GARCH-type model by Hamiltonian Monte Carlo algorithm

Liang, Rubing; Qin, Binbin; Xia, Qiang - In: Computational economics 63 (2024) 1, pp. 193-220

Persistent link: https://www.econbiz.de/10014472071

Sequential monitoring for changes from stationarity to mild non-stationarity

Horváth, Lajos; Liu, Zhenya; Rice, Gregory; Wang, Shixuan - In: Journal of econometrics 215 (2020) 1, pp. 209-238

Persistent link: https://www.econbiz.de/10012439449

IV methods for Tobit models

Chesher, Andrew; Kim, Dongwoo; Rosen, Adam M. - In: Journal of econometrics 235 (2023) 2, pp. 1700-1724

Persistent link: https://www.econbiz.de/10014471424

BUGS for a Bayesian analysis of stochastic volatility models

Meyer, Renate; Yu, Jun - 2000

Persistent link: https://www.econbiz.de/10001513469

Statistical inference for random-variance option pricing

Pastorello, Sergio; Renault, Eric; Touzi, Nizar - In: Journal of business & economic statistics : JBES ; a … 18 (2000) 3, pp. 358-367

Persistent link: https://www.econbiz.de/10001493867