Search Results - subject:"ML estimation"

What interbank rates tell us about time-varying disaster risk

Doshi, Hitesh; Kim, Hyung Joo; Seo, Sang Byung - 2022

Persistent link: https://www.econbiz.de/10013329310

Iterated Function Systems driven by non independent sequences : structure and inference

Kandji, Baye Matar - 2022

Persistent link: https://www.econbiz.de/10013162000

Testing the binomial fixed effects logit model, with an application to female labour supply

Winkelmann, Rainer; Xu, Lin - In: Empirical economics : a quarterly journal of the … 62 (2022) 2, pp. 679-708

Persistent link: https://www.econbiz.de/10012819490

A stochastic discrete choice dynamic programming model of power plant operations and retirement

Çam, Eren; Hinkel, Niklas; Schönfisch, Max - 2022

We present a methodology to estimate fixed cost parameters relevant to the decision to operate, mothballor retire an open-cycle gas turbine (OCGT) using a dynamic discrete choice model, based on fuel andelectricity prices, as well as technical data and the operational status of OCGTs in the PJM...

Persistent link: https://www.econbiz.de/10012820376

Online Estimation of DSGE Models

Cai, Michael D.; Del Negro, Marco; Herbst, Edward P.; … - 2022

This paper illustrates the usefulness of sequential Monte Carlo (SMC) methods in approximating DSGE model posterior distributions. We show how the tempering schedule can be chosen adaptively, document the accuracy and runtime benefits of generalized data tempering for “online” estimation...

Persistent link: https://www.econbiz.de/10013323879

Maximum likelihood estimation for non-stationary location models with mixture of normal distributions

Blasques, Francisco; Brummelen, Janneke van; Gorgi, Paolo; … - 2022

We consider an observation-driven location model where the unobserved location variable is modeled as a random walk process and where the error variable is from a mixture of normal distributions. The mixed normal distribution can approximate many continuous error distributions accurately. We...

Persistent link: https://www.econbiz.de/10012795401

Resampling-Based Maximum Likelihood Estimation

Ito, Takahiro - 2022

This study develops a novel distribution-free maximum-likelihood estimator and formulates it for linear regression and binary response models. The estimator is consistent and asymptotically normally distributed (at rate N^(-1/2)). The Monte Carlo simulation results for the linear and binary...

Persistent link: https://www.econbiz.de/10013290754

Unrestricted Maximum Likelihood Estimation of Multivariate Realized Volatility Models

Vogler, Jan; Golosnoy, Vasyl - 2022

enormous computational difficulties in higher dimensions. Therefore, its unrestricted maximum likelihood (ML) estimation up to … now has been conducted only for small portfolios with around five assets. In this paper we elaborate on unrestricted ML … estimation of the CAW model in higher dimensions for around 30 assets which is a sufficient number for portfolio diversification …

Persistent link: https://www.econbiz.de/10013292096

Identification in ascending auctions, with an application to digital rights management

Freyberger, Joachim; Larsen, Bradley J. - In: Quantitative economics : QE ; journal of the … 13 (2022) 2, pp. 505-543

This study provides new identification and estimation results for ascending (traditional English or online) auctions with unobserved auction‐level heterogeneity and an unknown number of bidders. When the seller's reserve price and two order statistics of bids are observed, we derive conditions...

Persistent link: https://www.econbiz.de/10013382031

Regime-switching empirical similarity model : a comparison with baseline models

Bahromov, Jamol - In: Empirical economics : a quarterly journal of the … 63 (2022) 5, pp. 2655-2674

Persistent link: https://www.econbiz.de/10013440509