Simulation Based Estimation of Some Factor Models in Econometrics
AbstractA procedure for computing the parameters of latent multifactor models in econometrics is proposed based on indirect estimation methods.
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Bibliographic InfoPaper provided by The University of Melbourne in its series Department of Economics - Working Papers Series with number 521.
Length: 39 pages
Date of creation: 1996
Date of revision:
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Postal: Department of Economics, The University of Melbourne, 5th Floor, Economics and Commerce Building, Victoria, 3010, Australia
Phone: +61 3 8344 5289
Fax: +61 3 8344 6899
Web page: http://www.economics.unimelb.edu.au
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ECONOMETRICS; EVALUATION; MATHEMATICS;
Find related papers by JEL classification:
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C19 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Other
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- de Jong, Frank, 2000.
"Time Series and Cross-Section Information in Affine Term-Structure Models,"
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American Statistical Association, vol. 18(3), pages 300-314, July.
- de Jong, Frank, 1999. "Time-series and Cross-section Information in Affine Term Structure Models," CEPR Discussion Papers 2065, C.E.P.R. Discussion Papers.
- Martin, Vance L. & Wilkins, Nigel P., 1999.
"Indirect estimation of ARFIMA and VARFIMA models,"
Journal of Econometrics,
Elsevier, vol. 93(1), pages 149-175, November.
- Mardi Dungey & Vance L Martin & Adrian R Pagan, 2000. "A multivariate latent factor decomposition of international bond yield spreads," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(6), pages 697-715.
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