scholarly journals Approximate maximum likelihood for complex structural models

Author(s):  
Veronika Czellar ◽  
David T. Frazier ◽  
Eric Renault
2020 ◽  
Vol 0 (0) ◽  
Author(s):  
Alain Hecq ◽  
Li Sun

AbstractWe propose a model selection criterion to detect purely causal from purely noncausal models in the framework of quantile autoregressions (QAR). We also present asymptotics for the i.i.d. case with regularly varying distributed innovations in QAR. This new modelling perspective is appealing for investigating the presence of bubbles in economic and financial time series, and is an alternative to approximate maximum likelihood methods. We illustrate our analysis using hyperinflation episodes of Latin American countries.


2008 ◽  
Vol 15 (3-4) ◽  
pp. 369-381 ◽  
Author(s):  
B. Dupont ◽  
E. Pillet ◽  
S. Cogan

The objective of this article is to propose decision indicators to guide the analyst in the optimal definition of an ensemble of superelements in a complex structural assembly. These indicators are constructed based on comparisons between the unreduced physical model and the approximate solution provided by a nominally reduced superelement model. First, the low contribution substructure slave modes are filtered. Then, the minimum dynamical residual expansion is used to localize the superelements which are the most responsible for the response prediction errors. Moreover, it is shown that static residual vectors, which are a natural result of these calculations, can be included to represent the contribution of important truncated slave modes and consequently correct the deficient superelements. The proposed methodology is illustrated on a subassembly of an aeroengine model.


2009 ◽  
Vol 12 (03) ◽  
pp. 297-317 ◽  
Author(s):  
ANOUAR BEN MABROUK ◽  
HEDI KORTAS ◽  
SAMIR BEN AMMOU

In this paper, fractional integrating dynamics in the return and the volatility series of stock market indices are investigated. The investigation is conducted using wavelet ordinary least squares, wavelet weighted least squares and the approximate Maximum Likelihood estimator. It is shown that the long memory property in stock returns is approximately associated with emerging markets rather than developed ones while strong evidence of long range dependence is found for all volatility series. The relevance of the wavelet-based estimators, especially, the approximate Maximum Likelihood and the weighted least squares techniques is proved in terms of stability and estimation accuracy.


2018 ◽  
Vol 9 (2) ◽  
pp. 55
Author(s):  
Jonathan E. Leightner

This paper estimates the change in China's exports and the change in US exports due to a one dollar increase in China's foreign reserves. The statistical technique used produces reduced form estimates that capture the influence of omitted variables without having to construct and estimate complex structural models. I find that in August 2000 China's accumulation of 621 million dollars of foreign reserves is correlated with China's exports increasing by 151 million and the US's exports falling by 628 million dollars. In contrast, in November 2016, China spending 69 billion dollars of its foreign reserves supporting the value of the yuan is correlated with China's exports falling by 4.77 billion and the US's exports rising by 2.42 billion. Donald Trump's accusation that China is suppressing the yuan exchange rate to help Chinese exports at the expense of US exports did not fit the facts between August 11, 2015 and December 31, 2016.


2018 ◽  
Vol 51 (15) ◽  
pp. 724-729 ◽  
Author(s):  
Riccardo Sven Risuleo ◽  
Giulio Bottegal ◽  
Håkan Hjalmarsson

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