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Iterative and Recursive Estimation in Structural Nonadaptive Models: Rejoinder

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  • Pastorello, Sergio
  • Patilea, Valentin
  • Renault, Eric

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  • Pastorello, Sergio & Patilea, Valentin & Renault, Eric, 2003. "Iterative and Recursive Estimation in Structural Nonadaptive Models: Rejoinder," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(4), pages 503-509, October.
    • Handle: RePEc:bes:jnlbes:v:21:y:2003:i:4:p:503-09
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    Cited by:

    1. Jiang, Bin & Yang, Yanrong & Gao, Jiti & Hsiao, Cheng, 2021. "Recursive estimation in large panel data models: Theory and practice," Journal of Econometrics, Elsevier, vol. 224(2), pages 439-465.
    2. Hacioglu Hoke, Sinem & Kapetanios, George, 2017. "Common correlated effect cross-sectional dependence corrections for non-linear conditional mean panel models," Bank of England working papers 683, Bank of England.
    3. Dias, Gustavo Fruet & Kapetanios, George, 2018. "Estimation and forecasting in vector autoregressive moving average models for rich datasets," Journal of Econometrics, Elsevier, vol. 202(1), pages 75-91.
    4. David T. Frazierz & Eric Renault, 2016. "Efficient Two-Step Estimation via Targeting," CIRANO Working Papers 2016s-16, CIRANO.
    5. Altissimo, Filippo & Mele, Antonio, 2005. "Simulated nonparametric estimation of dynamic models with applications to finance," LSE Research Online Documents on Economics 24658, London School of Economics and Political Science, LSE Library.
    6. Andersen, Torben G. & Fusari, Nicola & Todorov, Viktor & Varneskov, Rasmus T., 2019. "Unified inference for nonlinear factor models from panels with fixed and large time span," Journal of Econometrics, Elsevier, vol. 212(1), pages 4-25.
    7. Fan, Yanqin & Gentry, Matthew & Li, Tong, 2011. "A new class of asymptotically efficient estimators for moment condition models," Journal of Econometrics, Elsevier, vol. 162(2), pages 268-277, June.
    8. Otero, Karina V., 2016. "Intensity of default in sovereign bonds: Estimation of an unobservable process," MPRA Paper 86782, University Library of Munich, Germany.
    9. Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2015. "Parametric Inference and Dynamic State Recovery From Option Panels," Econometrica, Econometric Society, vol. 83(3), pages 1081-1145, May.
    10. Liu, Sheen & Shi, Jian & Wang, Junbo & Wu, Chunchi, 2007. "How much of the corporate bond spread is due to personal taxes?," Journal of Financial Economics, Elsevier, vol. 85(3), pages 599-636, September.
    11. Andreasen, Martin M. & Christensen, Bent Jesper, 2015. "The SR approach: A new estimation procedure for non-linear and non-Gaussian dynamic term structure models," Journal of Econometrics, Elsevier, vol. 184(2), pages 420-451.
    12. Frazier, David T. & Renault, Eric, 2017. "Efficient two-step estimation via targeting," Journal of Econometrics, Elsevier, vol. 201(2), pages 212-227.
    13. Chen, Mingli, 2016. "Estimation of Nonlinear Panel Models with Multiple Unobserved Effects," Economic Research Papers 269326, University of Warwick - Department of Economics.
    14. Damiaan Persyn & Wouter Torfs, 2013. "A gravity equation for commuting - with an application to estimating regional and language border effects in Belgium," ERSA conference papers ersa13p599, European Regional Science Association.
    15. Dumitru, Ana-Maria & Holden, Tom, 2017. "A Hawkes model of the transmission of European sovereign default risk," EconStor Conference Papers 168431, ZBW - Leibniz Information Centre for Economics.
    16. Adam Canopius, 2006. "Practitioners' Corner," Journal of Financial Econometrics, Oxford University Press, vol. 4(2), pages 346-351.
    17. Sinem Hacıoğlu Hoke & George Kapetanios, 2021. "Common correlated effect cross‐sectional dependence corrections for nonlinear conditional mean panel models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(1), pages 125-150, January.
    18. Arthur Lewbel, 2019. "The Identification Zoo: Meanings of Identification in Econometrics," Journal of Economic Literature, American Economic Association, vol. 57(4), pages 835-903, December.
    19. De Blander, Rembert, 2020. "Iterative estimation correcting for error auto-correlation in short panels, applied to lagged dependent variable models," Econometrics and Statistics, Elsevier, vol. 15(C), pages 3-29.
    20. Garcia, René & Lewis, Marc-André & Pastorello, Sergio & Renault, Éric, 2011. "Estimation of objective and risk-neutral distributions based on moments of integrated volatility," Journal of Econometrics, Elsevier, vol. 160(1), pages 22-32, January.
    21. Chen, Xiaohong, 2007. "Large Sample Sieve Estimation of Semi-Nonparametric Models," Handbook of Econometrics, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 6, chapter 76, Elsevier.
    22. Li, Junye & Favero, Carlo & Ortu, Fulvio, 2012. "A spectral estimation of tempered stable stochastic volatility models and option pricing," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3645-3658.
    23. Xiaohong Chen & Sokbae Lee & Yuan Liao & Myung Hwan Seo & Youngki Shin & Myunghyun Song, 2023. "SGMM: Stochastic Approximation to Generalized Method of Moments," Papers 2308.13564, arXiv.org, revised Oct 2023.
    24. Dumitru, Ana-Maria & Holden, Thomas, 2019. "Quantifying the transmission of European sovereign default risk," EconStor Preprints 193632, ZBW - Leibniz Information Centre for Economics.

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