Showing 1 - 10 of 1,307
This study proposes a Bayesian semiparametric binary response model using Markov chain Monte Carlo algorithms since this Bayesian algorithm works when the maximum likelihood estimation fails. Implementing graphic processing unit computing improves the computation time because of its efficiency...
Persistent link: https://www.econbiz.de/10013271063
Extensive research has been conducted on the properties of quadratic forms in normal random variables, represented by the symbol Q here. However, analytical results on the square root of the quadratic form, √Q, are limited. The square root of the quadratic form is, for example, used in finance...
Persistent link: https://www.econbiz.de/10014362255
We explore convenient analytic properties of distributions constructed as mixtures of scaled and shifted t-distributions. A feature that makes this family particularly desirable for econometric applications is that it possesses closed-form expressions for its anti-derivatives (e.g., the...
Persistent link: https://www.econbiz.de/10010293996
Risk neutral densities (RND) can be used to forecast the price of the underlying basis for the option, or it may be used to price other derivates based on the same sequence. The method adopted in this paper to calculate the RND is to firts estimate daily the diffusion process of the underlying...
Persistent link: https://www.econbiz.de/10010295724
The convergence of estimators, e.g. maximum likelihood estimators, for increasing sample size is well understood in many cases. However, even when the rate of convergence of the estimator is known, practical application is hampered by the fact, that the estimator cannot always be obtained at...
Persistent link: https://www.econbiz.de/10010297265
A system of regression equations (SURE) for analyzing panel data with random heterogeneity in intercepts and coefficients, and unbalanced panel data is considered. A Maximum Likelihood (ML) procedure for joint estimation of all parameters is described. Since its implementation for numerical...
Persistent link: https://www.econbiz.de/10010330261
We propose the relaxation algorithm as a simple and powerful method for simulating the transition process in growth models. This method has a number of important advantages: (1) It can easily deal with a wide range of dynamic systems including stiff differential equations and systems giving rise...
Persistent link: https://www.econbiz.de/10010263935
This paper considers the estimation problem of structural models for which empirical restrictions are characterized by a fixed point constraint, such as structural dynamic discrete choice models or models of dynamic games. We analyze the conditions under which the nested pseudo-likelihood (NPL)...
Persistent link: https://www.econbiz.de/10010264523
We propose the relaxation algorithm as a simple and powerful method for simulating the transition process in growth models. This method has a number of important advantages: (1) It can easily deal with a wide range of dynamic systems including multi-dimensional systems with stable eigenvalues...
Persistent link: https://www.econbiz.de/10011753100
This paper considers the estimation problem of structural models for which empirical restrictions are characterized by a fixed point constraint, such as structural dynamic discrete choice models or models of dynamic games. We analyze the conditions under which the nested pseudo-likelihood (NPL)...
Persistent link: https://www.econbiz.de/10010290435