- Tytuł:
- Estimation Methods Comparison of SVAR Models with a Mixture of Two Normal Distributions
- Autorzy:
- Maciejowska, Katarzyna
- Powiązania:
- https://bibliotekanauki.pl/articles/483297.pdf
- Data publikacji:
- 2010
- Wydawca:
- Polska Akademia Nauk. Czytelnia Czasopism PAN
- Tematy:
-
Structural vector autoregression
error correction models
mixed normal distributions
Monte Carlo - Opis:
- This paper addresses the issue of obtaining maximum likelihood estimates of parameters for structural VAR models with a mixture of distributions. Hence the problem does not have a closed form solution, numerical optimization procedures need to be used. A Monte Carlo experiment is designed to compare the performance of four maximization algorithms and two estimation strategies. It is shown that the EM algorithm outperforms the general maximization algorithms such as BFGS, NEWTON and BHHH. Moreover, simplification of the problem introduced in the two steps quasi ML method does not worsen small sample properties of the estimators and therefore may be recommended in the empirical analysis.
- Źródło:
-
Central European Journal of Economic Modelling and Econometrics; 2010, 2, 4; 279-314
2080-0886
2080-119X - Pojawia się w:
- Central European Journal of Economic Modelling and Econometrics
- Dostawca treści:
- Biblioteka Nauki
Artykuł