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Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood
Kristensen, Dennis; Shin, Yongseok - School of Economics and Management, University of Aarhus - 2008
We propose a simulated maximum likelihood estimator for dynamic models based on non-parametric kernel methods. Our method is designed for models without latent dynamics from which one can simulate observations but cannot obtain a closed-form representation of the likelihood function. Using the...
Persistent link: https://www.econbiz.de/10005114113
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Simulation Based Inference for Dynamic Multinomial Choice Models
Geweke, John; Houser, Dan; Keane, Michael - Volkswirtschaftliche Fakultät, … - 1999
Our goal in this chapter is to explain concretely how to implement simulation methods in a very general class of models …
Persistent link: https://www.econbiz.de/10011260171
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Alternate Samplingmethods for Estimating Multivariate Normal Probabilities
Sándor, Sándor, Z.; András, P. - Faculteit der Economische Wetenschappen, Erasmus … - 2003
We study the performance of alternative sampling methods for estimating multivariate normal probabilities through the GHK simulator. The sampling methods are randomized versions of some quasi-Monte Carlo samples (Halton, Niederreiter, Niederreiter-Xing sequences and lattice points) and some...
Persistent link: https://www.econbiz.de/10011067485
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Advances in Random Utility Models
Horowitz, Joel; Keane, Michael; Bolduc, Denis; Divakar, … - Volkswirtschaftliche Fakultät, … - 1994
In recent years, major advances have taken place in three areas of random utility modeling: (1) semiparametric estimation, (2) computational methods for multinomial probit models, and (3) computational methods for Bayesian stimation. This paper summarizes these developments and discusses their...
Persistent link: https://www.econbiz.de/10011109965
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Two-Dimensional Graphical Representations of Regression Submodels.
Rolle, J.-D. - Geneva School of Economics and Management, Université … - 2000
In the framework of regression, consider the set of regression submodels. By submodel, we mean on e or more response variables and a subset of the potential regressors. Imagine the submodels as a ponts in some space. How can we "project" these ponts onto a map so as to visualize and compare...
Persistent link: https://www.econbiz.de/10005478986
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Brand and Quantity Choice Dynamics Under Price Uncertainty
Erdem, Tulin; Imai, Susumu; Keane, Michael - Volkswirtschaftliche Fakultät, … - 2003
We develop a model of household demand for frequently purchased consumer goods that are branded, storable and subject to stochastic price fluctuations. Our framework accounts for how inventories and expectations of future prices affect current period purchase decisions. We estimate our model...
Persistent link: https://www.econbiz.de/10011257829
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Communicating quantitative information: tables vs graphs
Klein, Torsten L. - Volkswirtschaftliche Fakultät, … - 2014
unstructured body of numeric evidence, for example from Monte Carlo simulation, in a form ready for introducing to scientific …, and organize content into a productive tool. Graphs confirm the advantage when put to work in a standard simulation … exercise. However, theory and application contrast with the norm observed in peer-reviewed journals – by a wide margin and with …
Persistent link: https://www.econbiz.de/10011109202
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The small multiple in econometrics – a redesign
Klein, Torsten L. - Volkswirtschaftliche Fakultät, … - 2014
value plots with ease, and thus facilitate visualizing quantitative data that record parameter change from simulation … principles revise a small multiple that collects simulation results on the empirical size of procedures testing exogeneity in the …
Persistent link: https://www.econbiz.de/10011114338
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The Composite Marginal Likelihood (CML) Inference Approach with Applications to Discrete and Mixed Dependent Variable Models
Bhat, Chandra R. - In: Foundations and Trends(R) in Econometrics 7 (2014) 1, pp. 1-117
This monograph presents the basics of the composite marginal likelihood (CML) inference approach, discussing the asymptotic properties of the CML estimator and the advantages and limitations of the approach. The composite marginal likelihood (CML) inference approach is a relatively simple...
Persistent link: https://www.econbiz.de/10010801058
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Volatility of the Utilities Industry: Its Causal Relationship to Other Nine Industries
Lee, Kuo-Hao; Elkassabgi, Ahmed; Hsieh, Wei-Jen - In: Review of Economics & Finance 4 (2014) May, pp. 15-22
The goal of this study is to investigate the causality relationship between the Utilities industry and the nine other industries. Previous literatures show that volatility of stock prices is informative; Granger causality is applied in this research by using of a leveraged bootstrap test...
Persistent link: https://www.econbiz.de/10010812029