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Modified profile likelihood inference and interval forecast of the burst of financial bubbles
Filimonov, Vladimir; Demos, Guilherme; Heinimann, Hans … - 2016
We present a detailed methodological study of the application of the modified profile likelihood method for the calibration of nonlinear financial models characterised by a large number of parameters. We apply the general approach to the Log-Periodic Power Law Singularity (LPPLS) model of...
Persistent link: https://www.econbiz.de/10011514498
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Robust inference in nonlinear models with mixed identification strength
Cheng, Xu - In: Journal of econometrics 189 (2015) 1, pp. 207-228
Persistent link: https://www.econbiz.de/10011502516
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Unified inference for nonlinear factor models from panels with fixed and large time span
Andersen, Torben; Fusari, Nicola; Todorov, Viktor; … - In: Journal of econometrics 212 (2019) 1, pp. 4-25
Persistent link: https://www.econbiz.de/10012303860
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Recent advances in the measurement error literature
Schennach, Susanne M. - In: Annual review of economics 8 (2016), pp. 351-377
Persistent link: https://www.econbiz.de/10011743179
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A computational framework for solving nonlinear binary optimization problems in robust causal inference
Islam, Md Saiful; Morshed, Md Sarowar; Noor-E-Alam, Md - In: INFORMS journal on computing : JOC ; charting new … 34 (2022) 6, pp. 3023-3041
Persistent link: https://www.econbiz.de/10014326334
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Differencies transformations and inference in predictive regression models
Camponovo, Lorenzo - In: Econometric theory 31 (2015) 6, pp. 1331-1358
Persistent link: https://www.econbiz.de/10011545547
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Impulse response estimation by smooth local projections
Barnichon, Régis; Brownlees, Christian - 2016
Persistent link: https://www.econbiz.de/10011606743
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Impulse response estimation by smooth local projections
Barnichon, Regis; Brownlees, Christian - In: The review of economics and statistics 101 (2019) 3, pp. 522-530
Persistent link: https://www.econbiz.de/10012039436
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Estimation and inference for linear models with two-way fixed effects and sparsely matched data
Verdier, Valentin - In: The review of economics and statistics 102 (2020) 1, pp. 1-16
Persistent link: https://www.econbiz.de/10012208026
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Tractable latent state filtering for non-linear DSGE models using a second-order approximation
Kollmann, Robert - 2013
Persistent link: https://www.econbiz.de/10009759742