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ArticleSimulation estimation of time-series models

Bong‐Soo Lee1991

Article1991

Simulation estimation of time-series models

Bong‐Soo Lee · Beth Fisher Ingram

395 citations·0/0 files stored·Journal of Econometrics

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Economic theories and models Simulation Techniques and Applications Markov Chains and Monte Carlo Methods

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References

1982Time to Build and Aggregate Fluctuations 1980Formulating and estimating dynamic linear rational expectations models 1983Solution and Maximum Likelihood Estimation of Dynamic Nonlinear Rational Expectations Models

Cited by

2002Multifractality in Asset Returns: Theory and Evidence 2012Structural stochastic volatility in asset pricing dynamics: Estimation and model contest 1991The Equity Premium and the Risk Free Rate: Matching the Moments 1998Reprojecting Partially Observed Systems with Application to Interest Rate Diffusions 1995Econometric Evaluation of Asset Pricing Models 2003Dynamic Economics: Quantitative Methods and Applications 2016Solution and Estimation Methods for DSGE Models 1993The equity premium and the risk-free rate

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Year1991

Typearticle

Published1991-02-01

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations395

Files0 public / 0

ShelfEconomic theories and models

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doi10.1016/0304-4076(91)90098-x

openalex_workW2025525633

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