Search Results - subject:"Schätzfunktion"

Specification testing for binary choice model via maximum score

Ota, Yuta; Otsu, Taisuke - 2026

Persistent link: https://www.econbiz.de/10015561469

Enforcing an admissible parameter space for vector MEM : the fundamental role of matrix inequality constraints

Karanasos, Menelaos; Xu, Yongdeng; Yfanti, Stavroula; … - 2026

We derive an admissible parameter space for vector Multiplicative Error Models (vMEMs), explicitly formulating it in terms of the model's matrix parameters through a set of matrix inequalities. Another key contribution is the adoption of constrained maximum likelihood estimation for the...

Persistent link: https://www.econbiz.de/10015614295

Gaussian maximum likelihood estimation of static and dynamic factor models

Zadrozny, Peter A. - 2026 - Original version: January 2026, this version: February 2026

The paper derives and proves results of Gaussian maximum likelihood estimation of constant unknowns (coefficients, covariances) and time-varying unknowns (factors, disturbances) of static and dynamic factor models and, thereby, extends the statistics and econometrics literatures on estimation...

Persistent link: https://www.econbiz.de/10015586766

Noncausal AR processes driven by causal GARCH volatility

Velasquez-Gaviria, Daniel; Zakoïan, Jean-Michel - 2026

Persistent link: https://www.econbiz.de/10015604163

Estimating, forecasting and backtesting a family of exponential and other GARCH models using the fEGarch package

Schulz, Dominik; Feng, Yuanhua; Peitz, Christian; … - 2026

Persistent link: https://www.econbiz.de/10015627061

Power quasi Sujatha distribution with properties and applications to real lifetime data

Prodhani, Hosenur Rahman; Shanker, Rama - 2026

This study presents a three-parameter power quasi Sujatha distribution. Statistical properties including the survival function, hazard function, reverse hazard function, mean residual life function and stochastic ordering have been discussed. Moments of the proposed distribution have been...

Persistent link: https://www.econbiz.de/10015667515

Bias-corrected cluster-robust standard errors for fixed effects PPML estimators of gravity panel models with autocorrelated disturbances

Pfaffermayr, Michael - 2026

Persistent link: https://www.econbiz.de/10015672647

Maximum trimmed likelihood estimation for discrete multivariate Vasicek processes

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

The multivariate Vasicek model is commonly used to capture mean-reverting dynamics typical for short rates, asset price stochastic log-volatilities, etc. Reparametrizing the discretized problem as a VAR(1) model, the parameters are oftentimes estimated using the multivariate least squares (MLS)...

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

A Neyman-orthogonalization approach to the incidental parameter problem

Bonhomme, Stéphane; Jochmans, Koen; Weidner, Martin - 2025

A popular approach to perform inference on a target parameter in the presence of nuisance parameters is to construct estimating equations that are orthogonal to the nuisance parameters, in the sense that their expected first derivative is zero. Such first-order orthogonalization may, however,...

Persistent link: https://www.econbiz.de/10015191457

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A Neyman-Orthogonalization Approach to the incidental parameter problem

Bonhomme, Stéphane; Jochmans, Koen; Weidner, Martin - 2025

Book / Working Paper

Regularized maximum likelihood estimation for the random coefficients model

Dunker, Fabian; Mendoza, Emil; Reale, Marco - 2025

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