Maximum Likelihood Estimation of a Unit Root Bilinear Model with an Application to Prices
نویسندگان
چکیده
We estimate a unit root bilinear process using the Maximum Likelihood method with log-likelihood function constructed by means of the Kalman filter, and evaluate the finite sample properties of this estimator. One hundred and six world-wide price series are tested for unit root bilinearity applying the test suggested by Charemza et al. (2002b). Applying the Maximum Likelihood estimator based on the Kalman filter, the null hypothesis of no bilinearity is rejected for 40 out of 106 series at the 5% level of significance. Most of the significant unit root bilinear coefficient estimates are explosive.
منابع مشابه
Value at Risk Estimation using the Kappa Distribution with Application to Insurance Data
The heavy tailed distributions have mostly been used for modeling the financial data. The kappa distribution has higher peak and heavier tail than the normal distribution. In this paper, we consider the estimation of the three unknown parameters of a Kappa distribution for evaluating the value at risk measure. The value at risk (VaR) as a quantile of a distribution is one of the import...
متن کاملChange Point Estimation of the Stationary State in Auto Regressive Moving Average Models, Using Maximum Likelihood Estimation and Singular Value Decomposition-based Filtering
In this paper, for the first time, the subject of change point estimation has been utilized in the stationary state of auto regressive moving average (ARMA) (1, 1). In the monitoring phase, in case the features of the question pursue a time series, i.e., ARMA(1,1), on the basis of the maximum likelihood technique, an approach will be developed for the estimation of the stationary state’s change...
متن کاملInflation and Inflation Uncertainty in Iran: An Application of GARCH-in-Mean Model with FIML Method of Estimation
This paper investigates the relationship between inflation and inflation uncertainty for the period of 1990-2009 by using monthly data in the Iranian economy. The results of a two-step procedure such as Granger causality test which uses generated variables from the first stage as regressors in the second stage, suggests a positive relation between the mean and the variance of inflation. However...
متن کاملModeling of the Maximum Entropy Problem as an Optimal Control Problem and its Application to Pdf Estimation of Electricity Price
In this paper, the continuous optimal control theory is used to model and solve the maximum entropy problem for a continuous random variable. The maximum entropy principle provides a method to obtain least-biased probability density function (Pdf) estimation. In this paper, to find a closed form solution for the maximum entropy problem with any number of moment constraints, the entropy is consi...
متن کاملComparison of Maximum Likelihood Estimation and Bayesian with Generalized Gibbs Sampling for Ordinal Regression Analysis of Ovarian Hyperstimulation Syndrome
Background and Objectives: Analysis of ordinal data outcomes could lead to bias estimates and large variance in sparse one. The objective of this study is to compare parameter estimates of an ordinal regression model under maximum likelihood and Bayesian framework with generalized Gibbs sampling. The models were used to analyze ovarian hyperstimulation syndrome data. Methods: This study use...
متن کامل