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On Optimal Instrumental Variables Estimation of Stationary Time Series Models

✍ Scribed by Kenneth D. West

Book ID: 108563813
Publisher: John Wiley and Sons
Year: 2001
Tongue: English
Weight: 82 KB
Volume: 42
Category: Article
ISSN: 0020-6598
DOI: 10.1111/1468-2354.00145

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## Abstract Recently, Fridman and Harris proposed a method which allows one to approximate the likelihood of the basic stochastic volatility model. They also propose to estimate the parameters of such a model maximising the approximate likelihood by an algorithm which makes use of numerical derivat