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Automated Variable Selection in Vector Multiplicative Error Models
Cipollini, Fabrizio
;
Gallo, Giampiero M.
-
Dipartimento di Statistica, Informatica, Applicazioni …
-
2009
Multiplicative Error Models (MEM) can be used to trace the dynamics of non–negative valued processes. Interactions between several such processes are accommodated by the vector MEM and estimated by maximum likelihood (Gamma marginals with copula functions) or by Generalized Method of Moments....
Persistent link: https://www.econbiz.de/10005731539
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Semiparametric vector MEM
Cipollini, Fabrizio
;
Engle, Robert F.
;
Gallo, Giampiero M.
-
Dipartimento di Statistica, Informatica, Applicazioni …
-
2009
sets this vector MEM apart from an equation by equation specification; and the adoption of a
GMM
-based approach which …
Persistent link: https://www.econbiz.de/10005731543
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