Econometric Applications Of Maximum Likelihood Methods
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Econometric Applications Of Maximum Likelihood Methods
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Author : Jan Salomon Cramer
language : en
Publisher: CUP Archive
Release Date : 1989-04-28
Econometric Applications Of Maximum Likelihood Methods written by Jan Salomon Cramer and has been published by CUP Archive this book supported file pdf, txt, epub, kindle and other format this book has been release on 1989-04-28 with Business & Economics categories.
The advent of electronic computing permits the empirical analysis of economic models of far greater subtlety and rigour than before, when many interesting ideas were not followed up because the calculations involved made this impracticable. The estimation and testing of these more intricate models is usually based on the method of Maximum Likelihood, which is a well-established branch of mathematical statistics. Its use in econometrics has led to the development of a number of special techniques; the specific conditions of econometric research moreover demand certain changes in the interpretation of the basic argument. This book is a self-contained introduction to this field. It consists of three parts. The first deals with general features of Maximum Likelihood methods; the second with linear and nonlinear regression; and the third with discrete choice and related micro-economic models. Readers should already be familiar with elementary statistical theory, with applied econometric research papers, or with the literature on the mathematical basis of Maximum Likelihood theory. They can also try their hand at some advanced econometric research of their own.
Econometric Applications Of Maximum Likelihood Methods
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Author : Jan Salomon Cramer
language : en
Publisher:
Release Date : 1986
Econometric Applications Of Maximum Likelihood Methods written by Jan Salomon Cramer and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1986 with categories.
Maximum Simulated Likelihood Methods And Applications
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Author : William Greene
language : en
Publisher: Emerald Group Publishing
Release Date : 2010-12-03
Maximum Simulated Likelihood Methods And Applications written by William Greene and has been published by Emerald Group Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-12-03 with Business & Economics categories.
This collection of methodological developments and applications of simulation-based methods were presented at a workshop at Louisiana State University in November, 2009. Topics include: extensions of the GHK simulator; maximum-simulated likelihood; composite marginal likelihood; and modelling and forecasting volatility in a bayesian approach.
Econometrics An Introduction To Maximum Likelihood Methods Classic Reprint
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Author : Stefan Valavanis
language : en
Publisher: Forgotten Books
Release Date : 2018-12-18
Econometrics An Introduction To Maximum Likelihood Methods Classic Reprint written by Stefan Valavanis and has been published by Forgotten Books this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-12-18 with categories.
Excerpt from Econometrics, an Introduction to Maximum Likelihood Methods Introduction and summary Violation of Simplifying Assumption 6 Conjugate samples Source of bias Extent of the bias The' nature of initial conditions Unbiased estimation Further readings. About the Publisher Forgotten Books publishes hundreds of thousands of rare and classic books. Find more at www.forgottenbooks.com This book is a reproduction of an important historical work. Forgotten Books uses state-of-the-art technology to digitally reconstruct the work, preserving the original format whilst repairing imperfections present in the aged copy. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in our edition. We do, however, repair the vast majority of imperfections successfully; any imperfections that remain are intentionally left to preserve the state of such historical works.
Econometric Methods With Applications In Business And Economics
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Author : Christiaan Heij
language : en
Publisher: OUP Oxford
Release Date : 2004-03-25
Econometric Methods With Applications In Business And Economics written by Christiaan Heij and has been published by OUP Oxford this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004-03-25 with Business & Economics categories.
Nowadays applied work in business and economics requires a solid understanding of econometric methods to support decision-making. Combining a solid exposition of econometric methods with an application-oriented approach, this rigorous textbook provides students with a working understanding and hands-on experience of current econometrics. Taking a 'learning by doing' approach, it covers basic econometric methods (statistics, simple and multiple regression, nonlinear regression, maximum likelihood, and generalized method of moments), and addresses the creative process of model building with due attention to diagnostic testing and model improvement. Its last part is devoted to two major application areas: the econometrics of choice data (logit and probit, multinomial and ordered choice, truncated and censored data, and duration data) and the econometrics of time series data (univariate time series, trends, volatility, vector autoregressions, and a brief discussion of SUR models, panel data, and simultaneous equations). · Real-world text examples and practical exercise questions stimulate active learning and show how econometrics can solve practical questions in modern business and economic management. · Focuses on the core of econometrics, regression, and covers two major advanced topics, choice data with applications in marketing and micro-economics, and time series data with applications in finance and macro-economics. · Learning-support features include concise, manageable sections of text, frequent cross-references to related and background material, summaries, computational schemes, keyword lists, suggested further reading, exercise sets, and online data sets and solutions. · Derivations and theory exercises are clearly marked for students in advanced courses. This textbook is perfect for advanced undergraduate students, new graduate students, and applied researchers in econometrics, business, and economics, and for researchers in other fields that draw on modern applied econometrics.
Separating Information Maximum Likelihood Method For High Frequency Financial Data
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Author : Naoto Kunitomo
language : en
Publisher: Springer
Release Date : 2018-06-14
Separating Information Maximum Likelihood Method For High Frequency Financial Data written by Naoto Kunitomo and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-06-14 with Mathematics categories.
This book presents a systematic explanation of the SIML (Separating Information Maximum Likelihood) method, a new approach to financial econometrics. Considerable interest has been given to the estimation problem of integrated volatility and covariance by using high-frequency financial data. Although several new statistical estimation procedures have been proposed, each method has some desirable properties along with some shortcomings that call for improvement. For estimating integrated volatility, covariance, and the related statistics by using high-frequency financial data, the SIML method has been developed by Kunitomo and Sato to deal with possible micro-market noises. The authors show that the SIML estimator has reasonable finite sample properties as well as asymptotic properties in the standard cases. It is also shown that the SIML estimator has robust properties in the sense that it is consistent and asymptotically normal in the stable convergence sense when there are micro-market noises, micro-market (non-linear) adjustments, and round-off errors with the underlying (continuous time) stochastic process. Simulation results are reported in a systematic way as are some applications of the SIML method to the Nikkei-225 index, derived from the major stock index in Japan and the Japanese financial sector.
Econometrics
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Author : P. J. Dhrymes
language : en
Publisher: Springer
Release Date : 1970
Econometrics written by P. J. Dhrymes and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 1970 with Business & Economics categories.
Elementary aspects of multivariate analysis; Applications of multivariate analysis; Probability limits, asymptotic distributions, and properties of maximum likelihood estimators; Estimation of simultaneous equations systems; Applications of classical and simultaneous equations techniques and related problems; Alternative estimation methods: recursive systems; Maximum likelihood methods; Relations among estimators: Monte Carlo methods; Spectral analysis; Cross-spectral analysis; Approximate sampling distributions and other statistical aspects of spectral analysis; Applications of spectral analysis to simultaneous equations systems.
Exact Maximum Likelihood Estimation Of Observation Driven Econometric Models
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Author : Francis X. Diebold
language : en
Publisher:
Release Date : 1996
Exact Maximum Likelihood Estimation Of Observation Driven Econometric Models written by Francis X. Diebold and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with Econometric models categories.
The possibility of exact maximum likelihood estimation of many observation-driven models remains an open question. Often only approximate maximum likelihood estimation is attempted, because the unconditional density needed for exact estimation is not known in closed form. Using simulation and nonparametric density estimation techniques that facilitate empirical likelihood evaluation, we develop an exact maximum likelihood procedure. We provide an illustrative application to the estimation of ARCH models, in which we compare the sampling properties of the exact estimator to those of several competitors. We find that, especially in situations of small samples and high persistence, efficiency gains are obtained. We conclude with a discussion of directions for future research, including application of our methods to panel data models.
Econometrics An Introduction To Maximum Likelihood Methods
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Author : STEFAN. VALAVANIS
language : en
Publisher:
Release Date : 2018
Econometrics An Introduction To Maximum Likelihood Methods written by STEFAN. VALAVANIS and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
Econometrics An Introduction To Maximum Likelihood Methods
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Author : Stefan Valavanis
language : en
Publisher:
Release Date : 1980
Econometrics An Introduction To Maximum Likelihood Methods written by Stefan Valavanis and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1980 with Economics, Mathematical categories.