Article2004

Constrained Indirect Estimation

Giorgio Calzolari · Gabriele Fiorentini · Enrique Sentana

67 citations0/0 files storedThe Review of Economic Studies

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Financial Risk and Volatility Modeling Stochastic processes and financial applications Statistical and numerical algorithms

Abstract

We develop generalized indirect estimation procedures that handle equality and inequality constraints on the auxiliary model parameters by extracting information from the relevant multipliers, and compare their asymptotic efficiency to maximum likelihood. We also show that, regardless of the validity of the restrictions, the asymptotic efficiency of such estimators can never decrease by explicitly considering the multipliers associated with additional equality constraints. Furthermore, we discuss the variety of effects on efficiency that can result from imposing constraints on a previously unrestricted model. As an example, we consider a stochastic volatility process estimated through a garch model with Gaussian or t distributed errors. Copyright The Review of Economic Studies Limited, 2004.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 67 citations exist upstream.

References

1998Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models 2002Bayesian Analysis of Stochastic Volatility Models 1996Finite-Sample Properties of Some Alternative GMM Estimators 1996Statistical aspects of ARCH and stochastic volatility 1993Estimating nonlinear time-series models using simulated vector autoregressions 1992Inequality Constraints in the Univariate GARCH Model 1996GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study 1996Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models

Cited by

2008Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks 2021M&A rumors about unlisted firms 2008Indirect estimation of -stable stochastic volatility models 2009Distributional Tests in Multivariate Dynamic Models with Normal and Student t Innovations 2015Tests for serial dependence in static, non-Gaussian factor models

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.