Iterative and Recursive Estimation in Structural Nonadaptive Models
نویسندگان
چکیده
منابع مشابه
Comment on "Iterative and Recursive Estimation in Structural Nonadaptive Models Iterative and Recursive Estimation in Structural Nonadaptive Models" by S. Pastorello, V. Patilea, and E. Renault
This article provides a comprehensive overview and integra Lion of state-of-the-art econometric methods for models that are natural! y stated in terms of latent variables but present signif icant practical problems for inference from data. ln so doing it extends these methods in ignificant ways by incorporating the important concept of backfitt.ing. ft shows explicitly how this extension appl...
متن کاملIterative and Recursive Estimation in Structural Non-Adaptive Models
CIRANO Le CIRANO est un organisme sans but lucratif constitué en vertu de la Loi des compagnies du Québec. Le financement de son infrastructure et de ses activités de recherche provient des cotisations de ses organisations-membres, d'une subvention d'infrastructure du ministère de la Recherche, de la Science et de la Technologie, de même que des subventions et mandats obtenus par ses équipes de...
متن کاملComment on “ Iterative and Recursive Estimation in Structural Non - Adaptive Models ”
This paper constitutes a serious attempt to develop a new inference method for structural models with latent variables. In addition to tackling some difficult econometric issues, it is carefully executed with thoughtful discussions on many detailed issues. Overall, I see this article as a nice addition to the literature that focuses on the development of efficient and feasible econometric metho...
متن کاملEquivalence in Non-Recursive Structural Equation Models
Introduction In the last decade, there has been considerable progress in understanding a certain class of statistical models, known as directed acyclic graph (DAG) models, which encode independence, and conditional independence constraints. (See Pearl, 1988). This research has had fruitful results in many areas: there is now a relatively clear causal interpretation of these models, there are ef...
متن کاملRecursive Estimation in Hidden Markov Models
We consider a hidden Markov model (HMM) with multidimensional observations, and where the coefficients (transition probability matrix, and observation conditional densities) depend on some unknown parameter. We study the asymptotic behaviour of two recursive estimators, the recursive maximum likelihood estimator (RMLE), and the recursive conditional least squares estimator (RCLSE), as the numbe...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Business & Economic Statistics
سال: 2003
ISSN: 0735-0015,1537-2707
DOI: 10.1198/073500103288619124