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Estimation of Dynamic Discrete Choice Models by Maximum Likelihood and the Simulated Method of Moments
Eisenhauer, Phillipp - 2014
We compare the performance of maximum likelihood (ML) and simulated method of moments (SMM) estimation for dynamic discrete choice models. We construct and estimate a simplified dynamic structural model of education that captures some basic features of educational choices in the United States in...
Persistent link: https://www.econbiz.de/10013044978
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Generalized Moments Estimation for Panel Data
Druska, Viliam; Horrace, William C. - 2021
This paper considers estimation of a panel data model with disturbances that are autocorrelated across cross … estimate spatial dependence parameters. For the case where the time dimension is small (the usual panel data case), we develop … Kelejian and Prucha. We apply this approach in a stochastic frontier framework to a panel of Indonesian rice farms where …
Persistent link: https://www.econbiz.de/10013232767
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Protectionism and the Business Cycle
Barattieri, Alessandro - 2018
data, we present fresh evidence on the dynamic effects of temporary trade barriers. Estimates from country-level and panel …
Persistent link: https://www.econbiz.de/10012926407
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Maximum Likelihood Estimation of the Equity Premium
Avdis, Efstathios - 2013
The equity premium, namely the expected return on the aggregate stock market less the government bill rate, is of central importance to the portfolio allocation of individuals, to the investment decisions of firms, and to model calibration and testing. This quantity is usually estimated from the...
Persistent link: https://www.econbiz.de/10013072344
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The Conquest of South American Inflation
Sargent, Thomas J. - 2007
We infer determinants of Latin American hyperinflations and stabilizations by using the method of maximum likelihood to estimate a hidden Markov model that potentially assigns roles both to fundamentals in the form of government deficits that are financed by money creation and to destabilizing...
Persistent link: https://www.econbiz.de/10012778239
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Sticky Information in General Equilibrium
Mankiw, N. Gregory - 2007
This paper develops and analyzes a general-equilibrium model with sticky information. The only rigidity in goods, labor, and financial markets is that agents are inattentive, sporadically updating their information sets, when setting prices, wages, and consumption. After presenting the...
Persistent link: https://www.econbiz.de/10012778241
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Identification in Ascending Auctions, with an Application to Digital Rights Management
Freyberger, Joachim - 2017
This study provides new identification and estimation results for ascending (traditional English or online) auctions with unobserved auction-level heterogeneity and an unknown number of bidders. When the seller's reserve price and two order statistics of bids are observed, we derive conditions...
Persistent link: https://www.econbiz.de/10012951890
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A Maximum Likelihood Method for the Incidental Parameter Problem
Moreira, Marcelo J. - 2010
instrumental variable (IV) model; and (iv) a dynamic panel data model with fixed effects. In the first two examples, there exist … change with the sample size. In a dynamic panel data model with N individuals and T time periods, MILE is consistent as long …
Persistent link: https://www.econbiz.de/10012759543
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Multi-Period Corporate Default Prediction with Stochastic Covariates
Duffie, Darrell - 2010
We provide maximum likelihood estimators of term structures of conditional probabilities of corporate default, incorporating the dynamics of firm-specific and macroeconomic covariates. For U.S. Industrial firms, based on over 390,000 firm-months of data spanning 1979 to 2004, the level and shape...
Persistent link: https://www.econbiz.de/10012761778
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Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions
Ait-Sahalia, Yacine - 2010
We develop and implement a technique for closed-form maximum likelihood estimation (MLE) of multifactor affine yield models. We derive closed-form approximations to likelihoods for nine Dai and Singleton (2000) affine models. Simulations show our technique very accurately approximates true (but...
Persistent link: https://www.econbiz.de/10012762894