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Simulation Based Estimation of Some Factor Models in Econometrics

Author

Listed:
  • Pagan, A.R.

Abstract

A procedure for computing the parameters of latent multifactor models in econometrics is proposed based on indirect estimation methods.

Suggested Citation

  • Pagan, A.R., 1996. "Simulation Based Estimation of Some Factor Models in Econometrics," Department of Economics - Working Papers Series 521, The University of Melbourne.
    • Handle: RePEc:mlb:wpaper:521
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    Citations

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    Cited by:

    1. de Jong, Frank, 2000. "Time Series and Cross-Section Information in Affine Term-Structure Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(3), pages 300-314, July.
    2. Mardi Dungey & Vance L Martin & Adrian R Pagan, 2000. "A multivariate latent factor decomposition of international bond yield spreads," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(6), pages 697-715.
    3. de Jong, F.C.J.M., 1997. "Time-series and cross section information in affine term structure models," Other publications TiSEM 08704828-0ee7-4069-8a94-2, Tilburg University, School of Economics and Management.
    4. Martin, Vance L. & Wilkins, Nigel P., 1999. "Indirect estimation of ARFIMA and VARFIMA models," Journal of Econometrics, Elsevier, vol. 93(1), pages 149-175, November.

    More about this item

    Keywords

    ECONOMETRICS; EVALUATION; MATHEMATICS;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C19 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Other

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