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On simulated EM algorithms

  • Nielsen, Soren Feodor
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    File URL: http://www.sciencedirect.com/science/article/B6VC0-400X208-3/2/8d824d135de4c9f9c8f2d1ea2b49c1d0
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    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
    Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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    1. McFadden, Daniel & Ruud, Paul A, 1994. "Estimation by Simulation," The Review of Economics and Statistics, MIT Press, vol. 76(4), pages 591-608, November.
    2. Pakes, Ariel & Pollard, David, 1989. "Simulation and the Asymptotics of Optimization Estimators," Econometrica, Econometric Society, vol. 57(5), pages 1027-57, September.
    3. V A Hajivassiliou & DL McFadden, 1997. "The Method of Simulated Scores for the Estimation of LDV Models," STICERD - Econometrics Paper Series /1997/328, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    4. Ruud, Paul A., 1991. "Extensions of estimation methods using the EM algorithm," Journal of Econometrics, Elsevier, vol. 49(3), pages 305-341, September.
    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, March.
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