scholarly journals Copula information criterion for model selection with two-stage maximum likelihood estimation

2019 ◽  
Vol 12 ◽  
pp. 167-180 ◽  
Author(s):  
Vinnie Ko ◽  
Nils Lid Hjort
Keyword(s):  
Maximum Likelihood ◽  
Model Selection ◽  
Maximum Likelihood Estimation ◽  
Likelihood Estimation ◽  
Information Criterion ◽  
Two Stage

scholarly journals Standard-error Correction in Two-stage Optimization Models: A Quasi–maximum Likelihood Estimation Approach

2018 ◽  
Vol 18 (1) ◽  
pp. 206-222 ◽  
Author(s):  
Fernando Rios-Avila ◽  
Gustavo Canavire-Bacarreza
Keyword(s):  
Maximum Likelihood ◽  
Maximum Likelihood Estimation ◽  
Error Correction ◽  
Likelihood Estimation ◽  
Optimization Models ◽  
Standard Errors ◽  
Two Stage ◽  
Maximum Likelihood Approach ◽  
Likelihood Approach ◽  
Quasi Maximum Likelihood

Following Wooldridge (2014, Journal of Econometrics 182: 226–234), we discuss and implement in Stata an efficient maximum-likelihood approach to the estimation of corrected standard errors of two-stage optimization models. Specifically, we compare the robustness and efficiency of the proposed method with routines already implemented in Stata to deal with selection and endogeneity problems. This strategy is an alternative to the use of bootstrap methods and has the advantage that it can be easily applied for the estimation of two-stage optimization models for which already built-in programs are not yet available. It could be of particular use for addressing endogeneity in a nonlinear framework.

Sign in / Sign up

Export Citation Format

Share Document