Estimation Of Dynamic Models With Nonparametric Simulated Maximum Likelihood PDF Download
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Author | : Dennis Kristensen |
Publisher | : |
Total Pages | : 47 |
Release | : 2008 |
Genre | : |
ISBN | : |
Download Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood Book in PDF, ePub and Kindle
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 simulated observations, we nonparametrically estimate the density - which is unknown in closed form - by kernel methods, and then construct a likelihood function that can be maximized. We prove for dynamic models that this nonparametric simulated maximum likelihood (NPSML) estimator is consistent and asymptotically efficient. NPSML is applicable to general classes of models and is easy to implement in practice.
Author | : Francis X. Diebold |
Publisher | : |
Total Pages | : 38 |
Release | : 1996 |
Genre | : Econometric models |
ISBN | : |
Download Exact Maximum Likelihood Estimation of Observation-driven Econometric Models Book in PDF, ePub and Kindle
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 estimation is not known in closed form. Using simulation and nonparametric density estimation techniques that facilitate empirical likelihood evaluation, we develop an exact maximum likelihood procedure. We provide an illustrative application to the estimation of ARCH models, in which we compare the sampling properties of the exact estimator to those of several competitors. We find that, especially in situations of small samples and high persistence, efficiency gains are obtained. We conclude with a discussion of directions for future research, including application of our methods to panel data models.
Author | : J. D. Fermanian |
Publisher | : |
Total Pages | : 20 |
Release | : 2001 |
Genre | : |
ISBN | : |
Download A Nonparametric Simulated Maximum Likelihood Estimation Method Book in PDF, ePub and Kindle
Author | : James R. Thompson |
Publisher | : SIAM |
Total Pages | : 317 |
Release | : 1990-01-01 |
Genre | : Mathematics |
ISBN | : 0898712610 |
Download Nonparametric Function Estimation, Modeling, and Simulation Book in PDF, ePub and Kindle
Topics emphasized in this book include nonparametric density estimation, multi-dimensional data analysis, cancer progression, chaos theory, and parallel based algorithms.
Author | : Damayanti Ghosh |
Publisher | : |
Total Pages | : 498 |
Release | : 1987 |
Genre | : Econometrics |
ISBN | : |
Download Maximum Likelihood Estimation of Dynamic Models with Unobserved Variables Book in PDF, ePub and Kindle
Author | : Tim Bollerslev |
Publisher | : |
Total Pages | : 50 |
Release | : 1988 |
Genre | : |
ISBN | : |
Download Quasi-maximum Likelihood Estimation of Dynamic Models with Time Varying Covariances Book in PDF, ePub and Kindle
Author | : Tim BOLLERSLEV |
Publisher | : |
Total Pages | : |
Release | : 1988 |
Genre | : |
ISBN | : |
Download QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF DYNAMIC MODELS WITH TIME VARYNG COVARIANCES Book in PDF, ePub and Kindle
Author | : Theodore Wilbur Anderson |
Publisher | : |
Total Pages | : 52 |
Release | : 1980 |
Genre | : Econometrics |
ISBN | : |
Download Estimation of Dynamic Models with Error Components Book in PDF, ePub and Kindle
Author | : Jean Paul Elhorst |
Publisher | : |
Total Pages | : 36 |
Release | : 2003 |
Genre | : |
ISBN | : |
Download Unconditional Maximum Likelihood Estimation of Dynamic Models for Spatial Panels Book in PDF, ePub and Kindle
Author | : Lung-Fei Lee |
Publisher | : |
Total Pages | : 0 |
Release | : 1993 |
Genre | : Estimation theory |
ISBN | : |
Download Simulated Maximum Likelihood Estimation of Discrete Models with Group Data Book in PDF, ePub and Kindle