Generalized Residuals and Heterogeneous Duration Models: The Exponential Case
Maximum likelihood estimation is examined in a simple duration exponential model. Possible misspecification bias is examined. Exact mean and variance matrix of the maximum likelihood estimators is provided. Similarity to least squares is identified with the maximum likelihood estimator proving superior.
Publication Name: Bulletin of Economic Research
Tests of Causality, Predeterminedness and Exogeneity
A dynamic simultaneous equation model is developed to analyze the differences among causality, exogeneity and predeterminedness. Endogneous predetermined classification of variables is required. Specifications for the integral part of the model are outlined.
Publication Name: International Economic Review
Alternative Algorithms for the Estimation of Dynamic Factor, Mimic and Varying Coefficient Regression Models
Formulation is provided for the estimation of unobserved component models based on state-space models of engineering. Alternative algorithms proposed for maximizing the likelihood function are compared. A combination algorithm is favored.
Publication Name: Journal of Econometrics
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