Ahsan, Md. Nazmul; Dufour, Jean-Marie - In: Topics in Identification, Limited Dependent Variables, …, (pp. 157-201). 2019
Statistical inference (estimation and testing) for the stochastic volatility (SV) model Taylor (1982, 1986) is challenging, especially likelihood-based methods which are difficult to apply due to the presence of latent variables. The existing methods are either computationally costly and/or...