Quasi-maximum likelihood estimation of short panel data models with time-varying individual effects
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DOI: 10.1007/s00184-021-00825-2
Abstract: Since the commonly available time series on micro units are typically quite short, this paper considers a different estimation of linear panel data models where the unobserved individual effects are permitted to have time-varying effects… read more here.
Keywords: panel data; data models; time varying; time ... See more keywords
Penalized quasi-maximum likelihood estimation for extreme value models with application to flood frequency analysis
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DOI: 10.1007/s10687-020-00379-y
Abstract: A common statistical problem in hydrology is the estimation of annual maximal river flow distributions and their quantiles, with the objective of evaluating flood protection systems. Typically, record lengths are short and estimators imprecise, so… read more here.
Keywords: likelihood estimation; quasi maximum; maximum likelihood; penalized quasi ... See more keywords
Measure-Transformed Quasi-Maximum Likelihood Estimation
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DOI: 10.1109/tsp.2016.2621732
Abstract: In this paper, the Gaussian quasi-maximum likelihood estimator (GQMLE) is generalized by applying a transform to the probability distribution of the data. The proposed estimator, called measure-transformed GQMLE (MT-GQMLE), minimizes the empirical Kullback-Leibler divergence between… read more here.
Keywords: transformed quasi; measure; maximum likelihood; measure transformed ... See more keywords
Asymptotic properties of quasi-maximum likelihood estimators in observation-driven time series models
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DOI: 10.1214/17-ejs1299
Abstract: We study a general class of quasi-maximum likelihood estimators for observation-driven time series models. Our main focus is on models related to the exponential family of distributions like Poisson based models for count time series… read more here.
Keywords: time series; maximum likelihood; time; series models ... See more keywords
Asymptotic Properties of Quasi-Maximum Likelihood Estimators for Heterogeneous Spatial Autoregressive Models
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DOI: 10.3390/sym14091894
Abstract: In this paper, we address a class of heterogeneous spatial autoregressive models with all n(n−1) spatial coefficients taking m distinct true values, where m is independent of the sample size n, and we establish asymptotic… read more here.
Keywords: quasi maximum; autoregressive models; spatial autoregressive; asymptotic properties ... See more keywords
A replication of “A quasi-maximum likelihood approach for large, approximate dynamic factor models” (Review of Economics and Statistics, 2012)
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DOI: 10.5018/economics-ejournal.ja.2020-14
Abstract: Abstract The authors replicate and extend the Monte Carlo experiment presented in Doz, Giannone and Reichlin (A Quasi-Maximum Likelihood Approach For Large, Approximate Dynamic Factor Models, Review of Economics and Statistics, 2012) on alternative (time-domain… read more here.
Keywords: maximum likelihood; quasi maximum; replication; economics ... See more keywords