Finite Sample Properties of the Efficient Method of Moments
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DOI: 10.2202/1558-3708.1028
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- Romulo Chumacero, "undated". "Finite Sample Properties of the Efficient Method of Moments," Computing in Economics and Finance 1997 5, Society for Computational Economics.
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Cited by:
- Gallant, A. Ronald & Tauchen, George, 2002. "Simulated Score Methods and Indirect Inference for Continuous-time Models," Working Papers 02-09, Duke University, Department of Economics.
- Rómulo A. Chumacero, 2005.
"A Toolkit for Analyzing Alternative Policies in the Chilean Economy,"
Central Banking, Analysis, and Economic Policies Book Series, in: Rómulo A. Chumacero & Klaus Schmidt-Hebbel & Norman Loayza (Series Editor) & Klaus Schmidt-Hebbel (S (ed.),General Equilibrium Models for the Chilean Economy, edition 1, volume 9, chapter 8, pages 261-302,
Central Bank of Chile.
- Rómulo Chumacero, 2003. "A Toolkit for Analyzing Alternative Policies in The Chilean Economy," Working Papers Central Bank of Chile 241, Central Bank of Chile.
- CHUMACERO Rómulo, 2010. "A Toolkit for Analyzing Alternative Policies in the Chilean Economy," EcoMod2003 330700037, EcoMod.
- Monica Gentile & Roberto Renò, 2002. "Which Model for the Italian Interest Rates?," LEM Papers Series 2002/02, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Chumacero Rómulo A., 2001.
"Estimating ARMA Models Efficiently,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 5(2), pages 1-14, July.
- Rómulo Chumacero, 2001. "Estimating ARMA Models Efficiently," Working Papers Central Bank of Chile 92, Central Bank of Chile.
- Coppejans, Mark & Gallant, A. Ronald, 2002.
"Cross-validated SNP density estimates,"
Journal of Econometrics, Elsevier, vol. 110(1), pages 27-65, September.
- Coppejans, Mark & Gallant, A. Ronald, 2000. "Cross Validated SNP Density Estimates," Working Papers 00-10, Duke University, Department of Economics.
- Laurini, Márcio Poletti & Hotta, Luiz Koodi, 2013. "Indirect Inference in fractional short-term interest rate diffusions," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 109-126.
- Hao Zhou, 2000. "A study of the finite sample properties of EMM, GMM, QMLE, and MLE for a square-root interest rate diffusion model," Finance and Economics Discussion Series 2000-45, Board of Governors of the Federal Reserve System (U.S.).
- Veiga, Helena, 2006. "A two factor long memory stochastic volatility model," DES - Working Papers. Statistics and Econometrics. WS ws061303, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Michael Creel, 2008.
"Estimation of Dynamic Latent Variable Models Using Simulated Nonparametric Moments,"
UFAE and IAE Working Papers
725.08, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC), revised 02 Jun 2008.
- Michael Creel & Dennis Kristensen, 2009. "Estimation of Dynamic Latent Variable Models Using Simulated Nonparametric Moments," UFAE and IAE Working Papers 792.09, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
- Ronald Gallant, A. & Tauchen, George, 1999. "The relative efficiency of method of moments estimators1," Journal of Econometrics, Elsevier, vol. 92(1), pages 149-172, September.
- Romulo A. Chumacero, 1999. "Estimating Stationary ARMA Models Efficiently," Computing in Economics and Finance 1999 1333, Society for Computational Economics.
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Keywords
Monte Carlo; efficient method of moments; maximum likelihood; generalized method of moments; stochastic volatility; asset pricing;All these keywords.
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