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 … dynamic models that this nonparametric simulated maximum likelihood (NPSML) estimator is consistent and asymptotically …

. We find that there are no relevant differences in point estimates given by the two models, even for small sample size …

proposed class of regression models is not only less complex but can account for more versatile dependence structures and still … allow for an intuitive explanation. We examine some of the properties possessed by this class of regression models and show … its connections to several other models. For fitting purposes, we use the expectation-maximization (EM) algorithm which we …

frequently used nonlinear probit model in the style of Hey and Orme (1994) and base our analysis on a simulation stud. In detail …, we simulate trading sequences for a set of utility models and try to identify the underlying utility model and its … parameterization used to generate these sequences by maximum likelihood. We find that for a very broad classification of utility models …

In this paper R2-type measures of the explanatory power of multivariate linear and categorical probit models proposed … indifferent to components not explicitely modeled. Based on this view three different measures for multivariate probit models are … proposed. Results of a simulation study are presented designed to compare two measures in various situations and evaluate the …

This chapter reviews econometric models for which statistical inference requires intensive numerical computations. A … common feature of such models is that they incorporate unobserved (or latent) variables, in addition to observed ones. This …. The implied integral is typically of high dimension and not available analytically. Simulation methods are almost always …

In this paper we discuss parameter identification and likelihood evaluation for multinomial multiperiod Probit models …