TY  - BOOK
AU  - Diebold,Francis X.
AU  - Schuermann,Til
ED  - National Bureau of Economic Research.
TI  - Exact Maximum Likelihood Estimation of Observation-Driven Econometric   Models
T2  - NBER technical working paper series
PY  - 1996///
CY  - Cambridge, Mass.
PB  - National Bureau of Economic Research
N1  - April 1996; Hardcopy version available to institutional subscribers
N2  - The possibility of exact maximum likelihood estimation of many observation-driven models remains an open question.  Often only approximate maximum likelihood estimation is attempted, because the unconditional density needed for exact estimation is not known in closed form.  Using simulation and nonparametric density estimation techniques that facilitate empirical likelihood evaluation, we develop an exact maximum likelihood procedure.  We provide an illustrative application to the estimation of ARCH models, in which we compare the sampling properties of the exact estimator to those of several competitors.  We find that, especially in situations of small samples and high persistence, efficiency gains are obtained.  We conclude with a discussion of directions for future research, including application of our methods to panel data models
UR  - https://www.nber.org/papers/t0194
UR  - http://dx.doi.org/10.3386/t0194
ER  -