The Bates (2006) Approximate Maximum Likelihood (AML) method is considered from a practical point of view. Application of the AML method is undertaken using FFT with splines for integration. Results are validated by both simulation and comparison to MCMC literature. The SVJ model is estimated...

This paper deals with estimating peaked densities over the interval [0,1] using the Uneven Two-Sided Power Distribution (UTP). This distribution is the most complex of all the bounded power distributions introduced by Kotz and van Dorp (2004). The UTP maximum likelihood estimator, a result not...

We consider cointegration rank estimation for a p-dimensional Fractional Vector Error Correction Model. We propose a new two-step procedure which allows testing for further long-run equilibrium relations with possibly different persistence levels. The first step consists in estimating the...

In this paper we present a new method for estimating genetic parameters of an F2- generation model. Using an iterative algorithm we derive explicit expressions for the Maximum Likelihood estimates of the additive and dominance effects. Finally we calculate the variance covariance matrix of our...

The (quasi-) maximum likelihood estimator (MLE) for the autoregressive parameter in a spatial autoregressive model cannot in general be written explicitly in terms of the data. The only known properties of the estimator have hitherto been its first-order asymptotic properties (Lee, 2004,...

In this paper the Burtless and Hausman model is used to estimate water demand in Salatiga, Indonesia. Other statistical models, as OLS and IV, are found to be inappropiate. A topic, which does not seem to appear in previous studies, is the fact that the density function of the loglikelihood can...