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Estimation of Econometric Model Using Nonlinear Full Information Maximum Likelihood : Preliminary Computer Results

Belsley, David A.; Wall, Kent D. - 2021

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 …

Persistent link: https://www.econbiz.de/10013313666

Simulated Likelihood Estimation of Diffusions with an Application to Exchange Rate Dynamics in Incomplete Markets

Santa-Clara, Pedro; Brandt, Michael W. - 2021

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/10013235636

Maximum Likelihood Estimation of Stochastic Volatility Models

Aït-Sahalia, Yacine - 2009

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

Persistent link: https://www.econbiz.de/10012767654

Solution and Maximum Likelihood Estimation of Dynamic Nonlinear Rationalexpectations Models

Fair, Ray C.; Taylor, John B. - 2021

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 …

Persistent link: https://www.econbiz.de/10013220429

Maximum Likelihood in the Frequency Domain : a Time to Build Example

Christiano, Lawrence J.; Vigfusson, Robert J. - 2021

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

Persistent link: https://www.econbiz.de/10013240316

Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data

Lo, Andrew W. - 2021

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

Persistent link: https://www.econbiz.de/10013244771

Maximum Likelihood Estimation of the Equity Premium

Avdis, Efstathios - 2013

sample, our method leads to an economically significant reduction from 6.4% to 5.1%. Simulation results show that our method …

Persistent link: https://www.econbiz.de/10013072344

Estimation of Affine Term Structure Models with Spanned or Unspanned Stochastic Volatility

Creal, Drew - 2014

We develop new procedures for maximum likelihood estimation of affine term structure models with spanned or unspanned … produces the same estimator as maximizing the likelihood. It improves the numerical behavior of estimation by eliminating …

Persistent link: https://www.econbiz.de/10013053780

Online Estimation of DSGE Models

Cai, Michael D.; Del Negro, Marco; Herbst, Edward P.; … - 2022

generalized data tempering for “online” estimation (that is, re-estimating a model as new data become available), and provide … examples of multimodal posteriors that are well captured by SMC methods. We then use the online estimation of the DSGE model to …

Persistent link: https://www.econbiz.de/10013323879

A Maximum Likelihood Method for the Incidental Parameter Problem

Moreira, Marcelo J. - 2010

the structural parameter and yield a maximal invariant in the parameter space with fixed dimension. M-estimation from the … the invariant likelihood. Our approach is parallel to M-estimation in problems in which the number of parameters does not …

Persistent link: https://www.econbiz.de/10012759543