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Calibration by simulation for small sample bias correction

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References

1993Estimating nonlinear time-series models using simulated vector autoregressions686 cited
1990Simulated Moments Estimation of Markov Models of Asset Prices617 cited
1993Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models470 cited
1992Trends and Random Walks in Macroeconomic Time Series: A Re-Examination160 cited

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2009Indirect inference for dynamic panel models125 cited
2004Constrained Indirect Estimation67 cited
2008Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks61 cited
2012Correcting Estimation Bias in Dynamic Term Structure Models52 cited
2007Evidence on Simulation Inference for Near Unit-Root Processes with Implications for Term Structure Estimation42 cited
2009Simulation-Based Estimation of Contingent-Claims Prices39 cited
2011No-Arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth38 cited
2010No-Arbitrage Near-Cointegrated Var(p) Term Structure Models, Term Premia and GDP Growth

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38 cited

2007Estimating the Wishart Affine Stochastic Correlation Model Using the Empirical Characteristic Function30 cited

2009Term Structure and the Estimated Monetary Policy Rule in the Eurozone29 cited

2014Minimum Distance Estimation of Possibly Noninvertible Moving Average Models29 cited

2014ECONOMETRIC ANALYSIS OF CONTINUOUS TIME MODELS: A SURVEY OF PETER PHILLIPS’S WORK AND SOME NEW RESULTS24 cited

2018New distribution theory for the estimation of structural break point in mean23 cited

2008Term structure and the estimated monetary policy rule in the Eurozone20 cited