Uses of entropy and divergence measures for evaluating econometric approximations and inference
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- Kiviet, Jan F. & Phillips, Garry D.A., 1993. "Alternative Bias Approximations in Regressions with a Lagged-Dependent Variable," Econometric Theory, Cambridge University Press, vol. 9(01), pages 62-80, January.
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- Francisco Blasques & Siem Jan Koopman & André Lucas, 2014. "Information Theoretic Optimality of Observation Driven Time Series Models," Tinbergen Institute Discussion Papers 14-046/III, Tinbergen Institute.
- McLeod, A.I. & Zhang, Y., 2008. "Faster ARMA maximum likelihood estimation," Computational Statistics & Data Analysis, Elsevier, vol. 52(4), pages 2166-2176, January.
- Francisco (F.) Blasques & Paolo Gorgi & Siem Jan (S.J.) Koopman, 2017. "Accelerating GARCH and Score-Driven Models: Optimality, Estimation and Forecasting," Tinbergen Institute Discussion Papers 17-059/III, Tinbergen Institute.
- Atukorala, Ranjani & Sriananthakumar, Sivagowry, 2015. "A comparison of the accuracy of asymptotic approximations in the dynamic regression model using Kullback-Leibler information," Economic Modelling, Elsevier, vol. 45(C), pages 169-174.
- Francisco Blasques & Siem Jan Koopman & André Lucas, 2014. "Optimal Formulations for Nonlinear Autoregressive Processes," Tinbergen Institute Discussion Papers 14-103/III, Tinbergen Institute.
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