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Estimation of dynamic latent variable models using simulated non-parametric moments
Creel, Michael D.; Kristensen, Dennis - In: The econometrics journal 15 (2012) 3, pp. 490-515
Persistent link: https://www.econbiz.de/10009710132
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Estimation of Dynamic Latent Variable Models Using Simulated Nonparametric Moments
Creel, Michael - 2009
Given a model that can be simulated, conditional moments at a trial parameter value can be calculated with high accuracy by applying kernel smoothing methods to a long simulation. With such conditional moments in hand, standard method of moments techniques can be used to estimate the parameter....
Persistent link: https://www.econbiz.de/10013154330
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Semiparametric modelling and estimation : a selective overview
Kristensen, Dennis - 2009
Persistent link: https://www.econbiz.de/10003883603
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Nonparametric filtering of the realized spot volatility : a kernel-based approach
Kristensen, Dennis - In: Econometric theory 26 (2010) 1, pp. 60-93
Persistent link: https://www.econbiz.de/10003968526
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Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models
Kristensen, Dennis - In: Journal of econometrics 156 (2010) 2, pp. 239-259
Persistent link: https://www.econbiz.de/10008648830
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Semi-nonparametric estimation and misspecification testing of diffusion models
Kristensen, Dennis - 2010
Persistent link: https://www.econbiz.de/10003942044
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Nonparametric detection and estimation of structural change
Kristensen, Dennis - 2011
Persistent link: https://www.econbiz.de/10008986681
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Non-parametric detection and estimation of structural change
Kristensen, Dennis - In: The econometrics journal 15 (2012) 3, pp. 420-461
Persistent link: https://www.econbiz.de/10009710134
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Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models
Kristensen, Dennis - 2009
Persistent link: https://www.econbiz.de/10003878806
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Testing conditional factor models
Kristensen, Dennis; Ang, Andrew - 2009
Persistent link: https://www.econbiz.de/10003849517