Estimating nonlinear time-series models using simulated vector autoregressions
نویسندگان
چکیده
منابع مشابه
Estimating Nonlinear Time-series Models Using Simulated Vector Autoregressions
This paper develops two new methods for conducting formal statistical inference in nonlinear dynamic economic models. The two methods require very little analytical tractability, relying instead on numerical simulation of the model's dynamic behaviour. Although one of the estimators is asymptotically more efficient than the other, a Monte Carlo study shows that, for a specific application, the ...
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ژورنال
عنوان ژورنال: Journal of Applied Econometrics
سال: 1993
ISSN: 0883-7252,1099-1255
DOI: 10.1002/jae.3950080506