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Maximum Simulated Likelihood Methods and Applications

Maximum Simulated Likelihood Methods and Applications

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  • ISBN:9780857241498
  • Editorial: Emerald Group Publishing Limited
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  • Nº Pág.:363
  • Idiomas:Ingles

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This volume is a collection of methodological developments and applications of simulation-based methods that were presented at a workshop at Louisiana State University in November, 2009. The first two papers are extensions of the GHK simulator: one reconsiders the computation of the probabilities in a discrete choice model while another example uses an adaptive version of sparse-grids integration (SGI) instead of simulation. Two studies are focused specifically on the methodology: the first compares the performance of the maximum-simulated likelihood (MSL) approach with a proposed composite marginal likelihood (CML) approach in multivariate ordered-response situations, while the second examines methods of testing for the presence of heterogeneity in the heterogeneity model. Further topics examined include: education savings accounts, parent contributions and education attainment; estimating the effect of exchange rate flexibility on financial account openness; estimating a fractional response model with a count endogenous regressor; and modelling and forecasting volatility in a bayesian approach.

List of Contributors
Introduction
PART I THEORY AND METHODS
MCMC Perspectives on Simulated Likelhood Estimation by Esther Hee Lee 3
The Panel Probit Model: Adaptive Integration on Sparse Grids by Florian Heiss 41
A Comparison of the Maximum Simulated Likelihood and Composite Marginal Likelihood Estimation Approaches in the Context of the Multivariate Ordered-Response Model by Nazneen Ferdous 65
Pretest Estimation in the Random Parameters Logit Model by R. Carter Hill 107
Simulated Maximum Likelihood Estimation of continuous Time Stochastic Volatility Models by H. J. Skaug 137
PART II APPLICATIONS
Education Savings Accounts, Parent Contributions, and Education Attainment by Michael D. S. Morris 165
Estimating the Effect of Exchange Rate Flexibility on Financial Account Openness by Raul Razo-Garcia 199
Estimating A Fractional Response Model with a Count Endogenous Regressor and an Application to Female Labor Supply by Hoa B. Nguyen 253
Alternative Random Effects Panel Gamma SML Estimation with Heterogeneity in Random and One-Sided Error by Ashok K. Mishra 299
Modeling and Forecasting Volatility in a Bayesian Approach by Esmail Amiri 323

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