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A sample size requirement for SUR estimation

Griffiths, William E.; Duangkamon Chotikapanich - 1999

Persistent link: https://www.econbiz.de/10001425108

Sample size requirements for estimation in SUR models

Griffiths, William E.; Skeels, Christopher L.; … - 2001

Persistent link: https://www.econbiz.de/10001593268

Finite sample performance of the MLE in GARCH(1,1) : when the parameter on the lagged squared residual is close to zero

Kim, Suduk - In: Journal of economic theory and econometrics : journal … 4 (1998) 2, pp. 131-151

Persistent link: https://www.econbiz.de/10001562242

Endogenous sampling in duration models

Amemiya, Takeshi - 2001

Persistent link: https://www.econbiz.de/10001564759

Estimating time series models for count data using efficient importance sampling

Jung, Robert; Liesenfeld, Roman - In: Allgemeines statistisches Archiv : AStA ; journal of … 85 (2001) 4, pp. 387-407

Persistent link: https://www.econbiz.de/10001627138

Endogenous sampling in duration models

Amemiya, Takeshi - In: Monetary and economic studies 19 (2001) 3, pp. 77-96

Persistent link: https://www.econbiz.de/10001628692

Sample size requirements for estimation in SUR models

Griffiths, William E.; Skeels, Christopher L.; … - In: Handbook of applied econometrics and statistical inference, (pp. 575-590). 2002

Persistent link: https://www.econbiz.de/10001701999

Maximum likelihood estimation of discretely sampled diffusions : a closed-form approximation approach

Aït-Sahalia, Yacine - In: Econometrica : journal of the Econometric Society, an … 70 (2002) 1, pp. 223-262

Persistent link: https://www.econbiz.de/10001648106

A restricted maximum likelihood estimator for truncated height samples

A'Hearn, Brian - In: Economics and human biology 2 (2004) 1, pp. 5-19

Persistent link: https://www.econbiz.de/10001975609

Efficient Importance Sampling Maximum Likelihood Estimation of Stochastic Differential Equations

Rossi, Eduardo; Pastorello, Sergio - 2011

based on efficient importance sampling (EIS) is detailed. Monte Carlo experiments, based on widely used diffusion processes …, evaluate its performance against an alternative importance sampling (IS) strategy, showing that EIS is at least equivalent, if …

Persistent link: https://www.econbiz.de/10014183458