Prediction-based estimating functions: review and new developments
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Cited by:
- Enrico Bibbona & Ilia Negri, 2015. "Higher Moments and Prediction-Based Estimation for the COGARCH(1,1) Model," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 42(4), pages 891-910, December.
- Anne Brix & Asger Lunde, 2015. "Prediction-based estimating functions for stochastic volatility models with noisy data: comparison with a GMM alternative," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 99(4), pages 433-465, October.
- Asger Lunde & Anne Floor Brix, 2013. "Estimating Stochastic Volatility Models using Prediction-based Estimating Functions," CREATES Research Papers 2013-23, Department of Economics and Business Economics, Aarhus University.
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Keywords
Aasymptotic normality; consistency; diffusion with measurement errors; Gaussian process; integrated diffusion; linear predictors; non-Markovian models; optimal estimating function; partially observed system; Pearson diffusion.;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2011-01-30 (Econometrics)
- NEP-ORE-2011-01-30 (Operations Research)
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