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On relative efficiency of quasi-MLE and GMM estimators of covariance structure models

Prokhorov, Artem - In: Economics letters 102 (2009) 1, pp. 4-6

Persistent link: https://www.econbiz.de/10003822115

Second order bias of quasi-MLE for covariance structure models

Prokhorov, Artem - In: Economics letters 114 (2012) 2, pp. 195-197

Persistent link: https://www.econbiz.de/10009547279

Double-Entry Constraint, Structural Modeling and Econometric Estimation

Christodoulou, Demetris - 2013

The key proposition of the paper lies in the treatment of financial statements as a matrix of endogenous information codetermined by double entry. To account for the highly structured information set in econometric estimation, we develop a generalised structural system for use with accounting...

Persistent link: https://www.econbiz.de/10013089513

The double entry structural constraint on the econometric estimation of accounting variables

Christodoulou, Demetris; McLeay, Stuart J. - In: The European journal of finance 25 (2019) 18, pp. 1919-1935

Persistent link: https://www.econbiz.de/10012207171

GMM redundancy results for general missing data problems

Prokhorov, Artem; Schmidt, Peter - In: Journal of econometrics 151 (2009) 1, pp. 47-55

Persistent link: https://www.econbiz.de/10003855081

Likelihood-based estimation in a panel setting : robustness, redundancy and validity of copulas

Prokhorov, Artem; Schmidt, Peter - In: Journal of econometrics 153 (2009) 1, pp. 93-104

Persistent link: https://www.econbiz.de/10003892661

Estimation of semi- and nonparametric stochastic frontier models with endogenous regressors

Prokhorov, Artem; Tran, Kien C.; Tsionas, Efthymios G. - In: Empirical economics : a quarterly journal of the … 60 (2021) 6, pp. 3043-3068

Persistent link: https://www.econbiz.de/10012585764

GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference

Hill, Jonathan B.; Prokhorov, Artem - In: Journal of econometrics 190 (2016) 1, pp. 18-45

Persistent link: https://www.econbiz.de/10011591613

Generalized information matrix tests for copulas

Prokhorov, Artem; Schepsmeier, Ulf; Zhu, Yajing - In: Econometric reviews 38 (2019) 9, pp. 1024-1054

Persistent link: https://www.econbiz.de/10012181382

A new family of copulas, with application to estimation of a production frontier system

Amsler, Christine Elaine; Prokhorov, Artem; Schmidt, Peter - In: Journal of productivity analysis : an official journal … 55 (2021) 1, pp. 1-14

Persistent link: https://www.econbiz.de/10012488596