Exact Maximum Likelihood Estimation Of Observation Driven Econometric Models
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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.
Exact Maximum Likelhood Estimation Of Ebservation Driven Econometric Models
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Author : Francis X. Diebold
language : en
Publisher:
Release Date : 1996
Exact Maximum Likelhood Estimation Of Ebservation 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 categories.
Simulation Based Inference In Econometrics
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Author : Roberto Mariano
language : en
Publisher: Cambridge University Press
Release Date : 2000-07-20
Simulation Based Inference In Econometrics written by Roberto Mariano and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000-07-20 with Business & Economics categories.
This substantial volume has two principal objectives. First it provides an overview of the statistical foundations of Simulation-based inference. This includes the summary and synthesis of the many concepts and results extant in the theoretical literature, the different classes of problems and estimators, the asymptotic properties of these estimators, as well as descriptions of the different simulators in use. Second, the volume provides empirical and operational examples of SBI methods. Often what is missing, even in existing applied papers, are operational issues. Which simulator works best for which problem and why? This volume will explicitly address the important numerical and computational issues in SBI which are not covered comprehensively in the existing literature. Examples of such issues are: comparisons with existing tractable methods, number of replications needed for robust results, choice of instruments, simulation noise and bias as well as efficiency loss in practice.
On Efficient Exact Maximum Likelihood Estimation Of High Order Arma Models
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Author : Stefan Mittnik
language : en
Publisher:
Release Date : 1990
On Efficient Exact Maximum Likelihood Estimation Of High Order Arma Models written by Stefan Mittnik and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1990 with Autoregression (Statistics) categories.
Econometric Modelling With Time Series
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Author : Vance Martin
language : en
Publisher: Cambridge University Press
Release Date : 2013
Econometric Modelling With Time Series written by Vance Martin and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with Business & Economics categories.
"Maximum likelihood estimation is a general method for estimating the parameters of econometric models from observed data. The principle of maximum likelihood plays a central role in the exposition of this book, since a number of estimators used in econometrics can be derived within this framework. Examples include ordinary least squares, generalized least squares and full-information maximum likelihood. In deriving the maximum likelihood estimator, a key concept is the joint probability density function (pdf) of the observed random variables, yt. Maximum likelihood estimation requires that the following conditions are satisfied. (1) The form of the joint pdf of yt is known. (2) The specification of the moments of the joint pdf are known. (3) The joint pdf can be evaluated for all values of the parameters, 9. Parts ONE and TWO of this book deal with models in which all these conditions are satisfied. Part THREE investigates models in which these conditions are not satisfied and considers four important cases. First, if the distribution of yt is misspecified, resulting in both conditions 1 and 2 being violated, estimation is by quasi-maximum likelihood (Chapter 9). Second, if condition 1 is not satisfied, a generalized method of moments estimator (Chapter 10) is required. Third, if condition 2 is not satisfied, estimation relies on nonparametric methods (Chapter 11). Fourth, if condition 3 is violated, simulation-based estimation methods are used (Chapter 12). 1.2 Motivating Examples To highlight the role of probability distributions in maximum likelihood estimation, this section emphasizes the link between observed sample data and 4 The Maximum Likelihood Principle the probability distribution from which they are drawn"-- publisher.
Maximum Likelihood As An Operational Tool In Socio Economic Modeling As Outlined In A Recent Thesis Of D W Peterson Final Report
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Author : D. O'Mathuna
language : en
Publisher:
Release Date : 1977
Maximum Likelihood As An Operational Tool In Socio Economic Modeling As Outlined In A Recent Thesis Of D W Peterson Final Report written by D. O'Mathuna and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1977 with categories.
The Evaluation Of Exact Maximum Likelihood Estimates For Varma Models
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Author : A. D. Hall
language : en
Publisher:
Release Date : 1979
The Evaluation Of Exact Maximum Likelihood Estimates For Varma Models written by A. D. Hall and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1979 with categories.
Maximum Likelihood Estimation Of Misspecified Models
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Author : T. Fomby
language : en
Publisher: Elsevier
Release Date : 2003-12-12
Maximum Likelihood Estimation Of Misspecified Models written by T. Fomby and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003-12-12 with Business & Economics categories.
Comparative study of pure and pretest estimators for a possibly misspecified two-way error component model / Badi H. Baltagi, Georges Bresson, Alain Pirotte -- Estimation, inference, and specification testing for possibly misspecified quantile regression / Tae-Hwan Kim, Halbert White -- Quasimaximum likelihood estimation with bounded symmetric errors / Douglas Miller, James Eales, Paul Preckel -- Consistent quasi-maximum likelihood estimation with limited information / Douglas Miller, Sang-Hak Lee -- An examination of the sign and volatility switching arch models under alternative distributional assumptions / Mohamed F. Omran, Florin Avram -- estimating a linear exponential density when the weighting matrix and mean parameter vector are functionally related / Chor-yiu Sin -- Testing in GMM models without truncation / Timothy J. Vogelsang -- Bayesian analysis of misspecified models with fixed effects / Tiemen Woutersen -- Tests of common deterministic trend slopes applied to quarterly global temperature data / Thomas B. Fomby, Timothy J. Vogelsang -- The sandwich estimate of variance / James W. Hardin -- Test statistics and critical values in selectivity models / R. Carter Hill, Lee C. Adkins, Keith A. Bender -- Introduction / Thomas B Fomby, R. Carter Hill.
Exact Maximum Likelihood Estimation Of The Kalman Filter Model
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Author : Theodore Bos
language : en
Publisher:
Release Date : 1982
Exact Maximum Likelihood Estimation Of The Kalman Filter Model written by Theodore Bos and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1982 with Econometrics categories.
Exact Maximum Likelihood Estimation Of Arch Models
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Author : Francis X. Diebold
language : en
Publisher:
Release Date : 1993
Exact Maximum Likelihood Estimation Of Arch 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 1993 with Time-series analysis categories.