Search Results - subject:"LIKELIHOOD"

Regularized maximum likelihood estimation for the random coefficients model

Dunker, Fabian; Mendoza, Emil; Reale, Marco - In: Econometric reviews 44 (2025) 2, pp. 192-213

Persistent link: https://www.econbiz.de/10015196597

Using generalized estimating equations to estimate nonlinear models with spatial data

Wang, Weining; Wooldridge, Jeffrey M.; Xu, Mengshan; … - In: Econometric reviews 44 (2025) 2, pp. 214-242

Persistent link: https://www.econbiz.de/10015196599

Score-driven time-varying parameter models with splinebased densities

Brummelen, Janneke van; Gorgi, Paolo; Koopman, Siem Jan - 2025

likelihood and we formally establish some of the asymptotic properties of such estimators. We illustrate the practical relevance …

Persistent link: https://www.econbiz.de/10015198647

Maximum trimmed likelihood estimation for discrete multivariate Vasicek processes

Fullerton, Thomas M.; Pokojovy, Michael; Anum, Andrews T.; … - 2025

model violations, a maximum trimmed likelihood estimation (MTLE) approach is utilized to derive a system of nonlinear …

Persistent link: https://www.econbiz.de/10015338665

Simulated maximum likelihood estimation of the sequential search model

Chung, Jae Hyen; Chintagunta, Pradeep K.; Misra, Sanjog - 2025

Persistent link: https://www.econbiz.de/10015332998

Data-based parametrization for Affine GARCH models across multiple time scales : roughness implications

Escobar, Marcos; Ferrando, Sebastian; Li, Fuyu; Xu, Ke - In: Econometrics : open access journal 13 (2025) 1, pp. 1-17

This paper revisits the topic of time-scale parameterizations of the Heston-Nandi GARCH (1,1) model to create a new, theoretically valid setting compatible with real financial data. We first estimate parameters using three US market indices and six frequencies to let data reveal the correct,...

Persistent link: https://www.econbiz.de/10015408198