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EmmPack 1.01: C/C++ Code for Use with Ox for Estimation of Univariate Stochastic Volatility Models with the Efficient Method of Moments

van der Sluis, Pieter J. - In: Studies in Nonlinear Dynamics & Econometrics 2 (1997) 3

Econometric estimation using simulation techniques, such as the efficient method of moments, may be time consuming. The use of ordinary matrix-programming languages such as GAUSS, MATLAB, Ox, or S-PLUS will often cause extra delays. For the efficient method of moments implemented to estimate...

Persistent link: https://www.econbiz.de/10014620802

EmmPack 1.01 : C/C++ code for use with Ox for estimation of univariate stochastic volatility models with the efficient method of moments

Sluis, Pieter J. van der - 1998

Econometric estimation using simulation techniques, such as the efficient method of moments, may betime consuming. The use of ordinary matrix programming languages such as Gauss, Matlab, Ox or S-plus will very often cause extra delay. For the Efficient Method of Moments implemented to...

Persistent link: https://www.econbiz.de/10010533201