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Estimation and inference for high dimensional factor model with regime switching
Urga, Giovanni; Wang, Fa - In: Journal of econometrics 241 (2024) 2, pp. 1-18
Persistent link: https://www.econbiz.de/10015075174
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Likelihood estimation and inference in threshold regression
Yu, Ping - In: Journal of econometrics 167 (2012) 1, pp. 274-294
Persistent link: https://www.econbiz.de/10009551419
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Maximum likelihood estimation and uniform inference with sporadic indentification failure
Andrews, Donald W. K.; Cheng, Xu - In: Journal of econometrics 173 (2013) 1, pp. 36-56
Persistent link: https://www.econbiz.de/10009719636
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Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data
Kim, Donggyu; Wang, Yazhen - In: Journal of econometrics 194 (2016) 2, pp. 220-230
Persistent link: https://www.econbiz.de/10011705111
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Maximum likelihood estimation and inference for high dimensional generalized factor models with application to factor-augmented regressions
Wang, Fa - In: Journal of econometrics 229 (2022) 1, pp. 180-200
Persistent link: https://www.econbiz.de/10013441851
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Asymptotic properties of the maximum likelihood estimator in regime switching econometric models
Kasahara, Hiroyuki; Shimotsu, Katsumi - In: Journal of econometrics 208 (2019) 2, pp. 442-467
Persistent link: https://www.econbiz.de/10012145057
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A new approach to model regime switching
Chang, Yoosoon; Choi, Yongok; Park, Joon Y. - In: Journal of econometrics 196 (2017) 1, pp. 127-143
Persistent link: https://www.econbiz.de/10011743787
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Indirect inference with a non-smooth criterion function
Frazier, David T.; Oka, Tatsushi; Zhu, Dan - In: Journal of econometrics 212 (2019) 2, pp. 623-645
Persistent link: https://www.econbiz.de/10012304119
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Penalized indirect inference
Blasques, Francisco; Duplinskiy, Artem - In: Journal of econometrics 205 (2018) 1, pp. 34-54
Persistent link: https://www.econbiz.de/10012110237
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Detecting identification failure in moment condition models
Forneron, Jean-Jacques - In: Journal of econometrics 238 (2024) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10015073829