Similar Search Results - EconBiz

Long memory regressors and predictive testing : a two-stage rebalancing approach

Maynard, Alex; Smallwood, Aaron D.; Wohar, Mark E. - In: Econometric reviews 32 (2013) 1/4, pp. 318-360

Persistent link: https://www.econbiz.de/10009717790

Inference in conditional vector error correction models with a small signal-to-noise ratio

Gospodinov, Nikolaj; Maynard, Alex; Pesavento, Elena - In: Essays in honor of Joon Y. Park : econometric theory, (pp. 295-318). 2023

Persistent link: https://www.econbiz.de/10014313744

Sequential estimation of structural models with a fixed point constraint

Kasahara, Hiroyuki; Shimotsu, Katsumi - 2008

This paper considers the estimation problem of structural models for which empirical restrictions are characterized by a fixed point constraint, such as structural dynamic discrete choice models or models of dynamic games. We analyze the conditions under which the nested pseudo-likelihood (NPL)...

Persistent link: https://www.econbiz.de/10010264523

Sequential estimation of structural models with a fixed point constraint

Kasahara, Hiroyuki; Shimotsu, Katsumi - 2008

This paper considers the estimation problem of structural models for which empirical restrictions are characterized by a fixed point constraint, such as structural dynamic discrete choice models or models of dynamic games. We analyze the conditions under which the nested pseudo-likelihood (NPL)...

Persistent link: https://www.econbiz.de/10010290435

Sequential estimation of structural models with a fixed point constraint

Kasahara, Hiroyuki (contributor); … - 2008

This paper considers the estimation problem of structural models for which empirical restrictions are characterized by a fixed point constraint, such as structural dynamic discrete choice models or models of dynamic games. We analyze the conditions under which the nested pseudo-likelihood (NPL)...

Persistent link: https://www.econbiz.de/10003782944

Local Whittle estimation of fractional integration and some of its variants

Shimotsu, Katsumi; Phillips, Peter C. B. - In: Journal of econometrics 130 (2006) 2, pp. 209-233

Persistent link: https://www.econbiz.de/10003277950

Nested pseudo-likelihood estimation and bootstrap-based inference for structural discrete Markov decision models

Kasahara, Hiroyuki (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003318947

Sequential estimation of structural models with a fixed point constraint

Kasahara, Hiroyuki; Shimotsu, Katsumi - 2008

This paper considers the estimation problem of structural models for which empirical restrictions are characterized by a fixed point constraint, such as structural dynamic discrete choice models or models of dynamic games. We analyze the conditions under which the nested pseudo-likelihood (NPL)...

Persistent link: https://www.econbiz.de/10003805996

Determining the cointegrating rank in nonstationary frational system by the exact local Whittle approach

Nielsen, Morten Ørregaard; Shimotsu, Katsumi - In: Journal of econometrics 141 (2007) 2, pp. 574-596

Persistent link: https://www.econbiz.de/10003571326

Sequential estimation of structural models with a fixed point constraint

Kasahara, Hiroyuki; Shimotsu, Katsumi - 2009

Persistent link: https://www.econbiz.de/10003941921

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