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Maximum Likelihood in the Frequency Domain : A Time to Build Example
Christiano, Lawrence J. - 1999
A well known result is that the Gaussian log-likelihood can be expressed as the sum over different frequency components. This implies that the likelihood ratio statistic has a similar linear decomposition. We exploit these observations to devise diagnostic methods that are useful for...
Persistent link: https://www.econbiz.de/10012471773
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Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data
Lo, Andrew W. - 1986
In this paper, we consider the parametric estimation problem for continuous time stochastic processes described by general first-order nonlinear stochastic differential equations of the Ito type. We characterize the likelihood function of a discretely-sampled set of observations as the solution...
Persistent link: https://www.econbiz.de/10012477081
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Solution and Maximum Likelihood Estimation of Dynamic Nonlinear RationalExpectations Models
Fair, Ray C. - 1980
A solution method and an estimation method for nonlinear rational expectations models are presented in this paper. The solution method can be used in forecasting and policy applications and can handle models with serial correlation and multiple viewpoint dates. When applied to linear models, the...
Persistent link: https://www.econbiz.de/10012478577
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Estimation of Econometric Model Using Nonlinear Full Information Maximum Likelihood : Preliminary Computer Results
Belsley, David A. - 1976
This working paper provides some preliminary results on the computational feasibility of nonlinear full information maximum likelihood (NECML) estimation. Severa1 of the test cases presented were also subjected to nonlinear three stage least square (NLBSLS) estimation in order to illustrate the...
Persistent link: https://www.econbiz.de/10012478987
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Maximum Likelihood Estimation of Stochastic Volatility Models
Ait-Sahalia, Yacine - 2004
We develop and implement a new method for maximum likelihood estimation in closed-form of stochastic volatility models. Using Monte Carlo simulations, we compare a full likelihood procedure, where an option price is inverted into the unobservable volatility state, to an approximate likelihood...
Persistent link: https://www.econbiz.de/10012468114
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Simulated Likelihood Estimation of Diffusions with an Application to Exchange Rate Dynamics in Incomplete Markets
Brandt, Michael W. - 2001
We present an econometric method for estimating the parameters of a diffusion model from discretely sampled data. The estimator is transparent, adaptive, and inherits the asymptotic properties of the generally unattainable maximum likelihood estimator. We use this method to estimate a new...
Persistent link: https://www.econbiz.de/10012470313
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Maximum Likelihood Estimation of Discretely Sampled Diffusions : A Closed-Form Approach
Ait-Sahalia, Yacine - 1998
When a continuous-time diffusion is observed only at discrete dates, not necessarily close together, the likelihood function of the observations is in most cases not explicitly computable. Researchers have relied on simulations of sample paths in between the observations points, or numerical...
Persistent link: https://www.econbiz.de/10012472425
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Exact Maximum Likelihood Estimation of Observation-Driven Econometric Models
Diebold, Francis X. - 1996
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...
Persistent link: https://www.econbiz.de/10012473336
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A Review of Estimates of the Schooling/Earnings Relationship, with Tests for Publication Bias
Ashenfelter, Orley - 2000
') bias in the estimates and, after due account is taken of this bias, we find that differences due to estimation method are …
Persistent link: https://www.econbiz.de/10012471319
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Sample Selection Bias As a Specification Error (with an Application to the Estimation of Labor Supply Functions)
Heckman, James J. - 1977
In this paper, I present a simple characterization of the sample selection bias problem that is also applicable to the … problem of sample selection bias is fit within the conventional specification error framework of Griliches and Theil. A simple … estimator is discussed that enables analysts to utilize ordinary regression methods to estimate models free of selection bias …
Persistent link: https://www.econbiz.de/10012478957