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Testing for continuous-time models of the short-term interest rate

Broze, Laurence - In: Journal of empirical finance 2 (1995) 3, pp. 199-223

Persistent link: https://www.econbiz.de/10001203345

Quasi-indirect inference for diffusion processes

Broze, Laurence - In: Econometric theory 14 (1998) 2, pp. 161-186

Persistent link: https://www.econbiz.de/10001245312

Instrumental models and indirect encompassing

Dhaene, Geert - In: Econometrica : journal of the Econometric Society, an … 66 (1998) 3, pp. 673-688

Persistent link: https://www.econbiz.de/10001240756

Non-nested hypotheses and instrumental models

Dhaene, Geert; Gouriéroux, Christian; Scaillet, Olivier - 1996

Persistent link: https://www.econbiz.de/10000927795

Saddlepoint approximations for spatial panel data models

Jiang, Chaonan; La Vecchia, Davide; Ronchetti, Elvezio; … - 2019

We develop new higher-order asymptotic techniques for the Gaussian maximum likelihood estimator of the parameters in a spatial panel data model, with fixed effects, time-varying covariates, and spatially correlated errors. We introduce a new saddlepoint density and tail area approximation to...

Persistent link: https://www.econbiz.de/10012003171