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The "Austerity Myth" : Gain Without Pain?

Perotti, Roberto - 2011

detailed case studies, two - Denmark and Ireland - undertaken under fixed exchange rates (the most relevant case for many … Eurozone countries today) and two - Finland and Sweden - after floating the currency …All four episodes were associated with an expansion; but only in Denmark the driver of growth was internal demand …

Persistent link: https://www.econbiz.de/10012461087

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

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

A Maximum Likelihood Method for the Incidental Parameter Problem

Moreira, Marcelo - 2008

This paper uses the invariance principle to solve the incidental parameter problem. We seek group actions that preserve the structural parameter and yield a maximal invariant in the parameter space with fixed dimension. M-estimation from the likelihood of the maximal invariant statistic yields...

Persistent link: https://www.econbiz.de/10012464860

The Conquest of South American Inflation

Sargent, Thomas - 2006

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/10012466055

Sticky Information in General Equilibrium

Mankiw, N. Gregory - 2006

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/10012466056

Multi-Period Corporate Default Prediction With Stochastic Covariates

Duffie, Darrell - 2006

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/10012466709

Multi-Period Corporate Failure Prediction with Stochastic Covariates

Duffie, Darrell - 2004

We provide maximum likelihood estimators of term structures of conditional probabilities of bankruptcy over relatively long time horizons, incorporating the dynamics of firm-specific and macroeconomic covariates. We find evidence in the U.S. industrial machinery and instruments sector, based on...

Persistent link: https://www.econbiz.de/10012467947

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

Maximum Likelihood Estimation of Latent Affine Processes

Bates, David S. - 2003

This article develops a direct filtration-based maximum likelihood methodology for estimating the parameters and realizations of latent affine processes. The equivalent of Bayes' rule is derived for recursively updating the joint characteristic function of latent variables and the data...

Persistent link: https://www.econbiz.de/10012469025

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