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On simulated EM algorithms

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  • Nielsen, Soren Feodor

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  • Nielsen, Soren Feodor, 2000. "On simulated EM algorithms," Journal of Econometrics, Elsevier, vol. 96(2), pages 267-292, June.
    • Handle: RePEc:eee:econom:v:96:y:2000:i:2:p:267-292
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    References listed on IDEAS

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    1. McFadden, Daniel & Ruud, Paul A, 1994. "Estimation by Simulation," The Review of Economics and Statistics, MIT Press, vol. 76(4), pages 591-608, November.
    2. Ruud, Paul A., 1991. "Extensions of estimation methods using the EM algorithm," Journal of Econometrics, Elsevier, vol. 49(3), pages 305-341, September.
    3. Pakes, Ariel & Pollard, David, 1989. "Simulation and the Asymptotics of Optimization Estimators," Econometrica, Econometric Society, vol. 57(5), pages 1027-1057, September.
    4. Vassilis A. Hajivassiliou & Daniel L. McFadden, 1998. "The Method of Simulated Scores for the Estimation of LDV Models," Econometrica, Econometric Society, vol. 66(4), pages 863-896, July.
    5. Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501.
    6. Chib, Siddhartha, 1996. "Calculating posterior distributions and modal estimates in Markov mixture models," Journal of Econometrics, Elsevier, vol. 75(1), pages 79-97, November.
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    Cited by:

    1. Carlos Esteban Posada & José Fernando Escobar, 2004. "Crecimiento económico y gasto público: experiencias internacionales y el caso colombiano, 1982-99," Monetaria, CEMLA, vol. 0(2), pages 131-167, abril-jun.
    2. Manuel Arellano & Stéphane Bonhomme, 2016. "Nonlinear panel data estimation via quantile regressions," Econometrics Journal, Royal Economic Society, vol. 19(3), pages 61-94, October.
    3. Ana Buisán & Juan Carlos Caballero & José Manuel Campa & Noelia Jiménez, 2004. "La importancia de la histéresis en las exportaciones de manufacturas de los países de la UEM," Monetaria, CEMLA, vol. 0(2), pages 169-222, abril-jun.
    4. Pastorello, Sergio & Patilea, Valentin & Renault, Eric, 2003. "Iterative and Recursive Estimation in Structural Nonadaptive Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(4), pages 449-482, October.
    5. Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2004. "Likelihood-Based Estimation of Latent Generalized ARCH Structures," Econometrica, Econometric Society, vol. 72(5), pages 1481-1517, 09.

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