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Schuermann, Til
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Creator: Diebold, Francis X., 1959- and Schuermann, Til Series: Simulation-based inference in econometrics Abstract: The possibility of exact maximum likelihood estimation of many observation-driven models remains an open question. Often only approximate maximum likelihood estimation is attempted, because the unconditional density needed for exact estimation is not known in closed form. Using simulation and nonparametric density estimation techniques that facilitate empirical likelihood evaluation, we develop an exact maximum likelihood procedure. We provide an illustrative application to the estimation of ARCH models, in which we compare the sampling properties of the exact estimator to those of several competitors. We find that, especially in situations of small samples and high persistence, efficiency gains are obtained.
Mot-clé: Exact maximum likelihood estimation, Observation-driven models, ARCH models, Estimation, and Econometrics Assujettir: C22 - Single equation models ; Single variables - Time-series models ; Dynamic quantile regressions