A maximum likelihood approach to estimating dynamic models with unobserved independent variables

Autor:	Paul E. Hodges
Rok vydání:	1992
Předmět:	Economics and Econometrics Restricted maximum likelihood Estimation theory Likelihood-ratio test Statistics Expectation–maximization algorithm Estimating equations Maximum likelihood sequence estimation Likelihood function Likelihood principle Finance Mathematics
Zdroj:	International Review of Economics & Finance. 1:329-340
ISSN:	1059-0560
Popis:	A maximum likelihood method to estimate the parameters of dynamic models containing unobserved independent variables is proposed. The approach is to maximize the likelihood of the residuals produced by the recursive Kalman filter equations applied to the model in state-space form. A simulation study is presented comparing the proposed method to the instrumental variable approach. An example using real data is given which estimates models of the Permanent-Income Hypothesis.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::fd528615a496aa5685e5075f6ad7f442 https://doi.org/10.1016/1059-0560(92)90021-4 Zobrazit plný text záznamu