We develop and implement a new method for maximum likelihood estimation in closed-form of stochastic volatility models …

A solution method and an estimation method for nonlinear rational expectations models are presented in this paper. The …. For large nonlinear models the results in this paper indicate that the method works quite well. The estimation method is …

. We apply the methods to the estimation and testing of two real business cycle models. The standard real business cycle …

In this paper, we consider the parametric estimation problem for continuous time stochastic processes described by …

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 relative performance of the two estimation techniques. In addition …

estimation is not known in closed form. Using simulation and nonparametric density estimation techniques that facilitate …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 …

We compare the performance of maximum likelihood (ML) and simulated method of moments (SMM) estimation for dynamic …