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Titolo:
SIMULATION-BASED ESTIMATION OF MODELS WITH LAGGED LATENT-VARIABLES
Autore:
LAROQUE G; SALANIE B;
Indirizzi:
INSEE,DEPT RECH,13 BLVD GABRIEL PERI F-92241 MALAKOFF FRANCE ENSAE F-92241 MALAKOFF FRANCE
Titolo Testata:
Journal of applied econometrics
, volume: 8, anno: 1993, supplemento:, S
pagine: 190000119 - 190000133
SICI:
0883-7252(1993)8:<190000119:SEOMWL>2.0.ZU;2-N
Fonte:
ISI
Lingua:
ENG
Soggetto:
MAXIMUM-LIKELIHOOD METHODS;
Tipo documento:
Article
Natura:
Periodico
Settore Disciplinare:
Social Sciences Citation Index
Social Sciences Citation Index
Citazioni:
18
Recensione:
Indirizzi per estratti:
Citazione:
G. Laroque e B. Salanie, "SIMULATION-BASED ESTIMATION OF MODELS WITH LAGGED LATENT-VARIABLES", Journal of applied econometrics, 8, 1993, pp. 190000119-190000133

Abstract

We extend here our earlier work (Laroque-Salanie, 1989) and propose adynamic simulated pseudomaximum likelihood method to deal with a verygeneral class of dynamic non-linear models, including models with lagged latent variables. We test this method on Monte Carlo-generated data for a canonical disequilibrium model. It appears to provide very satisfactory estimates at little computational cost. However, accurate estimation of the standard errors of the estimates may require some carein nondifferentiable models.

ASDD Area Sistemi Dipartimentali e Documentali, Università di Bologna, Catalogo delle riviste ed altri periodici
Documento generato il 10/07/20 alle ore 03:15:05