Nothing Special   »   [go: up one dir, main page]
create a website
Fourth Order Pseudo Maximum Likelihood Methods. (2011). Rockinger, Michael ; Monfort, Alain ; Holly, Alberto ; Alberto HOLLY ; Alain MONFORT ; Michael ROCKINGER, .
In: Working Papers.
RePEc:crs:wpaper:2011-05.

Full description at Econpapers || Download paper

Cited: 6

Citations received by this document

Cites: 48

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. A term structure model for dividends and interest rates. (2020). Willems, Sander ; Filipovi, Damir.
    In: Mathematical Finance.
    RePEc:bla:mathfi:v:30:y:2020:i:4:p:1461-1496.

    Full description at Econpapers || Download paper

  2. Conditional moments of noncausal alpha-stable processes and the prediction of bubble crash odds. (2019). Fries, Sebastien.
    In: MPRA Paper.
    RePEc:pra:mprapa:97353.

    Full description at Econpapers || Download paper

  3. Portfolio optimisation under flexible dynamic dependence modelling. (2018). Bernardi, Mauro ; Catania, Leopoldo.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:48:y:2018:i:c:p:1-18.

    Full description at Econpapers || Download paper

  4. GMM estimation of the Long Run Risks model. (2016). Tinang, Jules ; Meddahi, Nour .
    In: 2016 Meeting Papers.
    RePEc:red:sed016:1107.

    Full description at Econpapers || Download paper

  5. Portfolio Optimisation Under Flexible Dynamic Dependence Modelling. (2016). Catania, Leopoldo ; Bernardi, Mauro.
    In: Papers.
    RePEc:arx:papers:1601.05199.

    Full description at Econpapers || Download paper

  6. Least quartic Regression Criterion with Application to Finance. (2014). Arbia, Giuseppe.
    In: Papers.
    RePEc:arx:papers:1403.4171.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Agmon, N., Y. Alhassid, and R.D. Levine (1979): “An Algorithm for Finding the Distribution of Maximal Entropy,” Journal of Computational Physics, 30, 250–259.
    Paper not yet in RePEc: Add citation now

  2. Altonji, J.G. and Segal, L.M. (1996): “Small-Sample Bias in GMM Estimation of Covariance Structures,” Journal of Business & Economic Statistics, 14(3), 353–366.

  3. Andersen, T.G., and B. Sorenson (1996): “GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study,” Journal of Business & Economic Statistics, 14, 328–352.

  4. Arellano-Valle, R.B., and M.G., Genton (2005): “On Fundamental Skew Distributions,” Journal of Multivariate Analysis, 96, 93–116.

  5. Barndorff-Nielsen, O.E. (1978): Information and Exponential Families in Statistical Theory. Wiley, Chichester.
    Paper not yet in RePEc: Add citation now
  6. Barndorff-Nielsen, O.E. (1997): “Normal Inverse Gaussian Distributions and Stochastic Volatility Modeling,” Scandinavian Journal of Statistics, 24, 1–13.
    Paper not yet in RePEc: Add citation now
  7. Bollerslev, T., and J.M. Wooldridge (1992): “Quasi-Maximum Likelihood Estimation and Inference in Dynamic Models with Time Varying Covariances,” Econometric Reviews, 11(2), 143–172.
    Paper not yet in RePEc: Add citation now
  8. Brown, L.D. (1986): “Fundamentals of Statistical Exponential Families,” Institute of Mathematical Statistics, Hayward, California.
    Paper not yet in RePEc: Add citation now

  9. Chamberlain, G. (1987): “Asymptotic Efficiency in Estimation with Conditional Moment Restrictions,” Journal of Econometrics, 34, 305–334.

  10. Doran, H.E., and P. Schmidt (2006): “GMM Estimators with Improved Finite Sample Properties using Principal Components of the Weighting Matrix, with an Application to the Dynamic Panel Data Model,” Journal of Econometrics, 133(1), 387–409.

  11. Eberlein, E., and U. Keller (1995): “Hyperbolic Distributions in Finance,” Bernoulli, 1, 281–299.
    Paper not yet in RePEc: Add citation now
  12. Fernandez, C., and M.F.J. Steel (1998): “On Bayesian Modelling of Fat Tails and Skewness, ” Journal of the American Statistical Association, 93, 359–371.
    Paper not yet in RePEc: Add citation now
  13. Freud, G., (1986): “On the Greatest Zero of an Orthogonal Polynomial, I,” Journal of Approximation Theory, 46, 16–24.
    Paper not yet in RePEc: Add citation now
  14. Gale D., and H. Nikaido (1965): “The Jacobian Matrix and Global Univalence of Mappings, ” Mathematische Annalen, 159(2), 81–93.
    Paper not yet in RePEc: Add citation now
  15. Gallant A.R. (1987): Nonlinear Statistical Models. John Wiley & Sons, New York.
    Paper not yet in RePEc: Add citation now
  16. Gautschi, W. (2004): Orthogonal Polynomials: Computation and Approximation. Oxford Science Publications, Oxford University Press.
    Paper not yet in RePEc: Add citation now
  17. Genton M.G. (2004): “Skew-Elliptical Distributions and Their Applications: A Journey Beyond Normality,” Edited vol., Chapman & Hall/CRC, Boca Raton, Florida.
    Paper not yet in RePEc: Add citation now

  18. Golan, A., G. Judge, and D. Miller (1996): Maximum Entropy Econometrics: Robust Estimation with Limited Data. Wiley, Chichester.

  19. Gourieroux C., A. Monfort, and A. Trognon (1984): “Pseudo Maximum Likelihood Methods: Theory,” Econometrica, 52(1), 681–700.

  20. Gourieroux C., and A. Monfort (1995a): Statistics and Econometric Models: Volume One. Cambridge University Press, Cambridge.
    Paper not yet in RePEc: Add citation now
  21. Gourieroux C., and A. Monfort (1995b): Statistics and Econometric Models: Volume Two. Cambridge University Press, Cambridge.
    Paper not yet in RePEc: Add citation now

  22. Gourieroux C., and A. Monfort (2006): “Pricing with Splines,” Annales d’Economie et de Statistique, 82, 4–33.

  23. Hansen, B. (1994): “Autoregressive Conditional Density Estimation,” International Economic Review, 35, 705–730.

  24. Hansen, L.P. (1982): “Large Sample Properties of the Generalized Methods of Moments,” Econometrica, 50, 1029–1054.
    Paper not yet in RePEc: Add citation now

  25. Harvey, C.R., and Siddique, A. (1999): “Autoregressive Conditional Skewness,” Journal of Financial and Quantitative Analysis, 34(4), 465–487.

  26. Holly A. (1993): “Asymptotic Theory for Nonlinear Econometric Models: Estimation,” in Aart J. de Zeeuw (ed.) Advanced Lectures in Quantitative Economics II, Academic Press.
    Paper not yet in RePEc: Add citation now
  27. Holly, A (2009): “Modeling Risk Using Fourth Order Pseudo Maximum Likelihood Methods, ” mimeo, Institute of Health Economics and Management, University of Lausanne.
    Paper not yet in RePEc: Add citation now
  28. Holly, A., and Y. Pentsak (2004): “Maximum Likelihood Estimation of the Conditional Mean E(y|x) for Skewed Dependent Variables in Four-parameter Families of Distribution,” Technical Report, Institute of Health Economics and Management, University of Lausanne.
    Paper not yet in RePEc: Add citation now
  29. Hood, W., and T. Koopmans (1953): “The Estimation of Simultaneous Linear Economic Relationships,” in Studies in Econometric Method. New Haven: Yale University Press.
    Paper not yet in RePEc: Add citation now

  30. Jondeau, E., and M. Rockinger (2003): “Conditional Volatility, Skewness, and Kurtosis: Existence, Persistence, and Comovements,” Journal of Economic Dynamics and Control, 27(10), 1699–1737.

  31. Junk, M. (2000): “Maximum Entropy for Reduced Moment Problems,” Mathematical Models and Methods in Applied Sciences, 10(7), 1001–1025.
    Paper not yet in RePEc: Add citation now

  32. Kitamura, Y., and M. Stutzer (1997): “An Information-Theoretic Alternative to Generalized Method of Moments Estimation,” Econometrica, 65(4), 861–874.

  33. Levin, E., and D.S. Lubinsky (2001): Orthogonal Polynomials for Exponential Weights. CMS Books in Mathematics, Springer-Verlag, New-York.
    Paper not yet in RePEc: Add citation now
  34. Maasoumi, E. (1993): “A Compendium To Information Theory in Economics and Econometrics, ” Econometric Reviews, 12(2), 137–181.
    Paper not yet in RePEc: Add citation now

  35. Manning W., A. Basu, and J. Mullahy (2005): “Generalized Modeling Approaches to Risk Adjustment of Skewed Outcomes Data,” Journal of Health Economics, 24, 465–488.

  36. Mead, L.R., and N. Papanicolaou (1984): “Maximum Entropy in the Problem of Moments,” Journal of Mathematical Physics, 25(8), 2404–2417.
    Paper not yet in RePEc: Add citation now
  37. Monfort, A. (1982): Cours de Statistique Mathématique. Economica, Paris.
    Paper not yet in RePEc: Add citation now

  38. Newey, W.K. (1990): “Semiparametric Efficiency Bounds,” Journal of Applied Econometrics, 5, 99–135.

  39. Noschese S., and L. Pasquini (1999): “On the Nonnegative Solution of a Freud Three-term Recurrence,” Journal of Approximation Theory, 99, 54–67.
    Paper not yet in RePEc: Add citation now

  40. Ormoneit, D., and H. White (1999): “An Efficient Algorithm to Compute Maximum Entropy Densities,” Econometric Reviews, 18(2), 127–140.

  41. Rockafellar, R.T. (1970): Convex Analysis. Princeton University Press.
    Paper not yet in RePEc: Add citation now

  42. Sawa, T. (1978): “Information Criteria for Discriminating Among Alternative Regression Models,” Econometrica, 46(6), 1273-1291.

  43. Stacy, E., and G. Mihram (1965): “Parameter Estimation for a Generalized Gamma Distribution, ” Technometrics, 7, 349–358.
    Paper not yet in RePEc: Add citation now

  44. Tauchen, G. (1986): “Statistical Properties of Generalized Method-of-Moments Estimators of Structural Parameters Obtained from Financial Market Data,” Journal of Business & Economic Statistics, 4(4), 397–416.

  45. Titterington, D.M., A.F.M. Smith, and U.E., Makov (1985): Statistical Analysis of Finite Mixture Distributions. John Wiley, Chichester.
    Paper not yet in RePEc: Add citation now
  46. White, H. (1982): “Maximum Likelihood of Misspecified Models,” Econometrica, 50(1), 1–25.
    Paper not yet in RePEc: Add citation now

  47. White, H. (1994): Estimation, Inference, and Specification Analysis. Cambridge University Press, Cambridge, UK.

  48. Zellner, A., and R.A. Highfield (1988): “Calculation of Maximum Entropy Distributions and Approximation of Marginal Posterior Distributions,” Journal of Econometrics, 37(2), 195–209.
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. Cyclical dynamics in idiosyncratic labor-market risks: Evidence from March CPS 1968–2011. (2013). Zhao, Bo.
    In: Economics Letters.
    RePEc:eee:ecolet:v:120:y:2013:i:3:p:528-531.

    Full description at Econpapers || Download paper

  2. Measuring Test Measurement Error: A General Approach. (2012). Wyckoff, James ; Boyd, Donald ; Loeb, Susanna ; Lankford, Hamilton .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:18010.

    Full description at Econpapers || Download paper

  3. An Empirical Investigation of Labor Income Processes. (2007). Guvenen, Fatih.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:13394.

    Full description at Econpapers || Download paper

  4. The Effect of Location on Finding a Job in the Greater Paris Area. (2007). Selod, Harris ; Magnac, Thierry ; Gobillon, Laurent.
    In: IZA Discussion Papers.
    RePEc:iza:izadps:dp2848.

    Full description at Econpapers || Download paper

  5. An empirical investigation of labor income processes. (2007). Guvenen, Fatih.
    In: IFS Working Papers.
    RePEc:ifs:ifsewp:07/13.

    Full description at Econpapers || Download paper

  6. The trade off between time and money: Is there a difference between real and hypothetical choices?. (2007). Isacsson, Gunnar.
    In: Working Papers.
    RePEc:hhs:vtiwps:2007_003.

    Full description at Econpapers || Download paper

  7. Earnings instability and tenure. (2007). Leonardi, Marco ; Cappellari, Lorenzo.
    In: ISER Working Paper Series.
    RePEc:ese:iserwp:2007-04.

    Full description at Econpapers || Download paper

  8. The Effect of Location on Finding a Job in the Paris Region. (2007). Selod, Harris ; Magnac, Thierry ; Gobillon, Laurent.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:6199.

    Full description at Econpapers || Download paper

  9. Testing for the principal’s monopsony power in agency contracts. (2006). Vukina, Tomislav ; Inoue, Atsushi.
    In: Empirical Economics.
    RePEc:spr:empeco:v:31:y:2006:i:3:p:717-734.

    Full description at Econpapers || Download paper

  10. Adjusting the Value of a Statistical Life for Age and Cohort Effects. (2006). Viscusi, W ; Aldy, Joseph.
    In: Discussion Papers.
    RePEc:rff:dpaper:dp-06-19.

    Full description at Econpapers || Download paper

  11. Differential Mortality, Uncertain Medical Expenses, and the Saving of Elderly Singles. (2006). Jones, John ; french, eric ; De Nardi, Mariacristina.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12554.

    Full description at Econpapers || Download paper

  12. What do “residuals” from first-order conditions reveal about DGE models?. (2006). Letendre, Marc-Andre ; Johri, Alok.
    In: Department of Economics Working Papers.
    RePEc:mcm:deptwp:2006-01.

    Full description at Econpapers || Download paper

  13. An Empirical Investigation of Labor Income Processes. (2005). Guvenen, Fatih.
    In: Macroeconomics.
    RePEc:wpa:wuwpma:0508026.

    Full description at Econpapers || Download paper

  14. Trade policy, income risk, and welfare. (2005). Maloney, William ; Krishna, Pravin ; Krebs, Tom.
    In: Policy Research Working Paper Series.
    RePEc:wbk:wbrwps:3622.

    Full description at Econpapers || Download paper

  15. The provision of wage insurance by the firm: evidence from a longitudinal matched employer-employee dataset. (2005). Portela, Miguel ; Cardoso, Ana Rute.
    In: NIPE Working Papers.
    RePEc:nip:nipewp:17/2005.

    Full description at Econpapers || Download paper

  16. An Empirical Model of Growth Through Product Innovation. (2005). Mortensen, Dale ; Lentz, Rasmus.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11546.

    Full description at Econpapers || Download paper

  17. Trade Policy, Income Risk, and Welfare. (2005). Maloney, William ; Krishna, Pravin ; Krebs, Tom.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11255.

    Full description at Econpapers || Download paper

  18. The Provision of Wage Insurance by the Firm: Evidence from a Longitudinal Matched Employer-Employee Dataset. (2005). Portela, Miguel ; Cardoso, Ana Rute.
    In: IZA Discussion Papers.
    RePEc:iza:izadps:dp1865.

    Full description at Econpapers || Download paper

  19. An Empirical Model of Growth Through Product Innovation. (2005). Mortensen, Dale ; Lentz, Rasmus.
    In: IZA Discussion Papers.
    RePEc:iza:izadps:dp1685.

    Full description at Econpapers || Download paper

  20. Local GEL methods for conditional moment restrictions. (2005). Smith, Richard.
    In: CeMMAP working papers.
    RePEc:ifs:cemmap:15/05.

    Full description at Econpapers || Download paper

  21. Efficient information theoretic inference for conditional moment restrictions. (2005). Smith, Richard.
    In: CeMMAP working papers.
    RePEc:ifs:cemmap:14/05.

    Full description at Econpapers || Download paper

  22. Differential mortality, uncertain medical expenses, and the saving of elderly singles. (2005). Jones, John ; french, eric ; De Nardi, Mariacristina.
    In: Working Paper Series.
    RePEc:fip:fedhwp:wp-05-13.

    Full description at Econpapers || Download paper

  23. Estimating Discount Functions with Consumption Choices over the Lifecycle. (2005). Tobacman, Jeremy ; Repetto, Andrea ; Laibson, David.
    In: Levine's Bibliography.
    RePEc:cla:levrem:784828000000000643.

    Full description at Econpapers || Download paper

  24. Trends in the Transitory Variance of Earnings: Evidence from Sweden 1960-1990 and a Comparison with the United States. (2004). Gustavsson, Magnus.
    In: Working Paper Series.
    RePEc:hhs:uunewp:2004_011.

    Full description at Econpapers || Download paper

  25. Quasi Empirical Likelihood Estimation of Moment Condition Models. (2004). Sherlund, Shane.
    In: Econometric Society 2004 North American Summer Meetings.
    RePEc:ecm:nasm04:507.

    Full description at Econpapers || Download paper

  26. Racial and Economic Factors in Attitudes to Immigration. (2004). Preston, Ian ; dustmann, christian.
    In: CReAM Discussion Paper Series.
    RePEc:crm:wpaper:0401.

    Full description at Econpapers || Download paper

  27. The Cross-Sectional Implications of Rising Wage Inequality in the United States. (2004). Violante, Giovanni ; Storesletten, Kjetil ; Heathcote, Jonathan.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:4296.

    Full description at Econpapers || Download paper

  28. On the Efficient Use of the Informational Content of Estimating Equations: Implied Probabilities and Euclidean Empirical Likelihood. (2004). Renault, Eric ; Bonnal, Helene.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2004s-18.

    Full description at Econpapers || Download paper

  29. Trade Policy, Income Risk, and Welfare. (2004). Maloney, William ; Krishna, Pravin ; Krebs, Tom.
    In: Working Papers.
    RePEc:bro:econwp:2004-09.

    Full description at Econpapers || Download paper

  30. Globalization and Consumption Patterns among the OECD Countries. (2004). Ohashi, Hiroshi ; Kónya, István.
    In: Boston College Working Papers in Economics.
    RePEc:boc:bocoec:596.

    Full description at Econpapers || Download paper

  31. Education, Labour Supply and Market Development in Rural Peru. (2003). Laszlo, Sonia.
    In: Development and Comp Systems.
    RePEc:wpa:wuwpdc:0312005.

    Full description at Econpapers || Download paper

  32. Permanent and Transitory Wage Inequality of British Men, 1975-2001: Year, Age and Cohort Effects. (2003). Kalwij, Adriaan ; alessie, rob.
    In: IZA Discussion Papers.
    RePEc:iza:izadps:dp686.

    Full description at Econpapers || Download paper

  33. The Dynamics of Local Employment in France. (2003). Robin, Jean-Marc ; Magnac, Thierry ; Combes, Pierre-Philippe.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:3912.

    Full description at Econpapers || Download paper

  34. Partial insurance, information and consumption dynamics. (2002). Preston, Ian ; Pistaferri, Luigi ; Blundell, Richard.
    In: IFS Working Papers.
    RePEc:ifs:ifsewp:02/16.

    Full description at Econpapers || Download paper

  35. Earnings Dynamics and Inequality during Macroeconomic Turbulence: Sweden 1991-1999. (2002). Gustavsson, Magnus.
    In: Working Paper Series.
    RePEc:hhs:uunewp:2002_020.

    Full description at Econpapers || Download paper

  36. On the distribution and dynamics of health costs. (2002). Jones, John ; french, eric.
    In: Working Paper Series.
    RePEc:fip:fedhwp:wp-02-21.

    Full description at Econpapers || Download paper

  37. Partial Insurance, Information, and Consumption Dynamics. (2002). Preston, Ian ; Pistaferri, Luigi ; Blundell, Richard.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:3666.

    Full description at Econpapers || Download paper

  38. Income Variance Dynamics and Heterogeneity. (2002). Pistaferri, Luigi ; Meghir, Costas.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:3632.

    Full description at Econpapers || Download paper

  39. Income variance dynamics and heterogenity. (2001). Pistaferri, Luigi ; Meghir, Costas.
    In: IFS Working Papers.
    RePEc:ifs:ifsewp:01/07.

    Full description at Econpapers || Download paper

  40. The Role of Comparative Advantage and Learning in Wage Dynamics and Intra-Firm Mobility: Evidence from Germany. (2001). Lluis, Stéphanie.
    In: Working Papers.
    RePEc:hrr:papers:0103.

    Full description at Econpapers || Download paper

  41. The effects of health insurance and self-insurance on retirement behavior. (2001). Jones, John ; french, eric.
    In: Working Paper Series.
    RePEc:fip:fedhwp:wp-01-19.

    Full description at Econpapers || Download paper

  42. The dynamics of individual male earnings in Great Britain: 1991-1999. (2001). Ramos, Xavi.
    In: ISER Working Paper Series.
    RePEc:ese:iserwp:2001-15.

    Full description at Econpapers || Download paper

  43. Wage Policy of Firms: An Empirical Investigation. (2001). Lluis, Stéphanie.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2001s-47.

    Full description at Econpapers || Download paper

  44. Finite Sample Properties of One-Step, Two-Step and Bootstrap Empirical Likelihood Approaches to Efficient GMM Estimation. (2000). Inkmann, Joachim.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:0332.

    Full description at Econpapers || Download paper

  45. Intertemporal Choice and Consumption Mobility. (2000). Pistaferri, Luigi ; Jappelli, Tullio.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:0118.

    Full description at Econpapers || Download paper

  46. Discovering the Link Between Uncertainty and Investment - Microeconometric Evidence from Germany. (2000). Siegfried, Nikolaus A ; Funke, Michael ; Boehm, Hjalmar.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:0112.

    Full description at Econpapers || Download paper

  47. Earnings Dynamics and Inequality Among Canadian Men, 1976-1992: Evidence from Longitudinal Income Tax Records. (1999). Baker, Michael.
    In: Analytical Studies Branch Research Paper Series.
    RePEc:stc:stcp3e:1999130e.

    Full description at Econpapers || Download paper

  48. Intertemporal Choice and Consumption Mobility. (1999). Pistaferri, Luigi ; Jappelli, Tullio.
    In: CSEF Working Papers.
    RePEc:sef:csefwp:23.

    Full description at Econpapers || Download paper

  49. Jackknife Instrumental Variables Estimation.. (1999). Krueger, Alan ; Imbens, Guido ; Angrist, Joshua.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:14:y:1999:i:1:p:57-67.

    Full description at Econpapers || Download paper

  50. Earnings Dynamics and Inequality among Canadian Men, 1976-1992: Evidence from Longitudinal Income Tax Records. (1998). Solon, Gary ; Baker, Michael.
    In: Working Papers.
    RePEc:tor:tecipa:baker-98-01.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-01-06 03:40:24 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.