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On simulated EM algorithms

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  • Nielsen, Soren Feodor
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Econometrics.

    Volume (Year): 96 (2000)
    Issue (Month): 2 (June)
    Pages: 267-292

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    Handle: RePEc:eee:econom:v:96:y:2000:i:2:p:267-292

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    Web page: http://www.elsevier.com/locate/jeconom

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    1. Paul A. Ruud., 1988. "Extensions of Estimation Methods Using the EM Algorithm.," Economics Working Papers 8899, University of California at Berkeley.
    2. Vassilis A. Hajivassiliou & Daniel L. McFadden, 1993. "The Method of Simulated Scores for the Estimation of LDV Models," Working Papers _023, Yale University.
    3. Pakes, Ariel & Pollard, David, 1989. "Simulation and the Asymptotics of Optimization Estimators," Econometrica, Econometric Society, vol. 57(5), pages 1027-57, September.
    4. McFadden, Daniel & Ruud, Paul A, 1994. "Estimation by Simulation," The Review of Economics and Statistics, MIT Press, vol. 76(4), pages 591-608, November.
    5. Chib, Siddhartha, 1996. "Calculating posterior distributions and modal estimates in Markov mixture models," Journal of Econometrics, Elsevier, vol. 75(1), pages 79-97, November.
    6. Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501.
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    Cited by:
    1. Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2003. "Likelihood-based estimation of latent generalised ARCH structures," LSE Research Online Documents on Economics 24852, London School of Economics and Political Science, LSE Library.
    2. Ana Buisán & Juan Carlos Caballero & José Manuel Campa & Noelia Jiménez, 2004. "La importancia de la histéresis en las exportaciones de manufacturas de los países de la UEM," Monetaria, Centro de Estudios Monetarios Latinoamericanos, vol. 0(2), pages 169-222, abril-jun.
    3. Carlos Esteban Posada & José Fernando Escobar, 2004. "Crecimiento económico y gasto público: experiencias internacionales y el caso colombiano, 1982-99," Monetaria, Centro de Estudios Monetarios Latinoamericanos, vol. 0(2), pages 131-167, abril-jun.
    4. Sergio Pastorello & Valentin Patilea & Éric Renault, 2003. "Iterative and Recursive Estimation in Structural Non-Adaptive Models," CIRANO Working Papers 2003s-08, CIRANO.
    5. repec:fip:fedcwp:12-19 is not listed on IDEAS
    6. John C. Driscoll & Steinar Holden, 2004. "Coordinación, trato justo y persistencia de la inflación," Monetaria, Centro de Estudios Monetarios Latinoamericanos, vol. 0(2), pages 97-129, abril-jun.
    7. Jonathan James, 2012. "A tractable estimator for general mixed multinomial logit models," Working Paper 1219, Federal Reserve Bank of Cleveland.

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