Pastorello, Sergio; Patilea, Valentin; Renault, Eric - In: Journal of Business & Economic Statistics 21 (2003) 4, pp. 449-82
An inference method, called latent backfitting, is proposed. This method appears well suited for econometric models where the structural relationships of interest define the observed endogenous variables as a known function of unobserved state variables and unknown parameters. This nonlinear...