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subject:"Estimation theory"
subject:"Theory"
~isPartOf:"Econometrica : journal of the Econometric Society, an international society for the advancement of economic theory in its relation to statistics and mathematics"
~person:"Linton, Oliver"
~person:"Pouzo, Demian"
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Estimation theory
Theory
Schätztheorie
2
Autocorrelation
1
Autokorrelation
1
Autoregressive models
1
Bias
1
Market microstructure
1
Markov chain
1
Markov-Kette
1
Markov-switching model
1
Marktmikrostruktur
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Maximum likelihood estimation
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Maximum-Likelihood-Schätzung
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Microstructure noise
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Noise Trading
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Noise trading
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Probability theory
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Time series analysis
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consistency
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covariate-dependent transition probabilities
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finite sample bias
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hidden Markov model
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infill asymptotics
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local asymptotic normality
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maximum likelihood
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misspecified models
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Linton, Oliver
Pouzo, Demian
Chernozhukov, Victor
2
Newey, Whitney K.
2
Torgovitsky, Alexander
2
Auerbach, Eric
1
Ding, Peng
1
Escanciano, Juan Carlos
1
Fang, Zheng
1
Forneron, Jean-Jacques
1
Gupta, Abhimanyu
1
Hansen, Bruce E.
1
Ichimura, Hidehiko
1
Imbens, Guido
1
Kaji, Tetsuya
1
Li, Z. Merrick
1
Manresa, Elena
1
Müller, Ulrich K.
1
Noack, Claudia
1
Norets, Andriy
1
Pelenis, Justinas
1
Pouliot, Guillaume
1
Psaradakis, Zacharias G.
1
Robins, James M.
1
Rothe, Christoph
1
Santos, Andres
1
Sekhon, Jasjeet Singh
1
Seo, Myung Hwan
1
Shaikh, Azeem M.
1
Shen, Dennis
1
Singh, Rahul
1
Sola, Martin
1
Tebaldi, Pietro
1
Watson, Mark W.
1
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Econometrica : journal of the Econometric Society, an international society for the advancement of economic theory in its relation to statistics and mathematics
CEMMAP working papers / Centre for Microdata Methods and Practice
27
Journal of econometrics
24
Econometric theory
20
Cambridge working papers in economics
18
Econometrics papers
16
Cambridge-INET working papers
7
Cowles Foundation discussion paper
7
Working paper / Department of Econometrics and Business Statistics, Monash University
6
Cowles Foundation Discussion Paper
5
Econometric reviews
5
Discussion paper / Suntory-Toyota International Centre for Economics and Related Disciplines
4
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
3
Janeway Institute working paper series
3
Boston College working papers in economics
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CORE discussion papers : DP
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Discussion paper / LSE Financial Markets Group
2
Discussion papers in economics / Nuffield College
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Working papers / Department of Economics, Universidad Carlos III de Madrid
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Working papers / Economics Series / Department of Economics, Universidad Carlos III de Madrid
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Yale Economics Department working papers
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Birkbeck working papers in economics and finance : BWPEF
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Discussion papers in economics
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Discussion papers of interdisciplinary research project 373
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Economics letters
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Handbook of financial time series
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Identification and inference for econometric models : essays in honor of Thomas Rothenberg
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Insurance / Mathematics & economics
1
Journal of empirical finance
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Journal of the American Statistical Association : JASA
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Quantitative economics : QE ; journal of the Econometric Society
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Research paper series / Swiss Finance Institute
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SFB 649 discussion paper
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Swiss Finance Institute Research Paper
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The econometrics journal
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A ReMeDI for microstructure noise
Li, Z. Merrick
;
Linton, Oliver
- In:
Econometrica : journal of the Econometric Society, an …
90
(
2022
)
1
,
pp. 367-389
Persistent link: https://www.econbiz.de/10012821689
Saved in:
2
Maximum likelihood estimation in Markov regime-switching models with covariate-dependent transition probabilities
Pouzo, Demian
;
Psaradakis, Zacharias G.
;
Sola, Martin
- In:
Econometrica : journal of the Econometric Society, an …
90
(
2022
)
4
,
pp. 1681-1710
Persistent link: https://www.econbiz.de/10013382399
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