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author = "Broze, Laurence"
1
Found 4 documents, displaying page 1 of 1
Pseudo-maximum likelihood method, adjusted pseudo-maximum likelihood method and covariance estimators
Description :
In this paper, we introduce an adjusted pseudo-maximum likelihood method. This procedure consists of solving centered pseudo-likelihood equations, i.e. equations in which the bias of the score function due to the misspecification is corrected by introducing terms involving its empirical mean. We sho...
Repository :
DIAL - Dépôt Institutionnel de l'Académie Louvain
Language(s) :
English
Quasi-indirect inference for diffusion processes
Description :
We discuss an estimation procedure for continuous-time models based on discrete sampled data with a fixed unit of time between two consecutive observations. Because in general the conditional likelihood of the model cannot be derived, an indirect inference procedure following Gourieroux, Monfort, an...
Repository :
DIAL - Dépôt Institutionnel de l'Académie Louvain
Language(s) :
English
Solutions of Multivariate Rational-expectations Models
Description :
The aim of this paper is the study of the path solutions of a multivariate rational expectations model. We describe several procedures for solving such dynamic systems based on either the adjoint operator method or the Smith form. As a by-product, we derive the dimension of the set of solutions in t...
Repository :
DIAL - Dépôt Institutionnel de l'Académie Louvain
Language(s) :
English
Non redundancy of high order moment conditions for efficient GMM estimation of weak AR processes
Description :
This paper considers GMM estimation of autoregressive processes. It is shown that, contrary to the case where the noise is independent (see Kim, Qian and Schmidt (1999)), using high-order moments can provide substantial efficiency gains for estimating the AR(p) model when the noise is only uncorrela...
Repository :
DIAL - Dépôt Institutionnel de l'Académie Louvain
Language(s) :
English
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Found 4 documents, displaying page 1 of 1