SIMULATION ESTIMATION OF TIME-SERIES MODELS

被引：154

作者：

LEE, BS ^{[1
]}

INGRAM, BF ^{[1
]}

机构：

[1] UNIV IOWA,IOWA CITY,IA 52242

来源：

JOURNAL OF ECONOMETRICS | 1991年 / 47卷 / 2-3期

关键词：

D O I：

10.1016/0304-4076(91)90098-X

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

A formal econometric treatment of the estimation of the parameters of a fully specified stochastic equilibrium model is proposed. The method, estimation by simulation, yields an estimator which is shown to have an asymptotic normal distribution. A goodness-of-fit test based on a chi-square statistic is also derived.

引用

页码：197 / 205

页数：9

共 16 条

[1] SOLUTION AND MAXIMUM-LIKELIHOOD ESTIMATION OF DYNAMIC NONLINEAR RATIONAL-EXPECTATIONS MODELS [J].