Maximum likelihood in the frequency domain: a time to build example

Lawrence Christiano () and Robert John Vigfusson ()

No 9901, Working Paper from Federal Reserve Bank of Cleveland

Abstract: The Gaussian log-likelihood can be expressed as the sum over different frequency components. This implies that the likelihood ratio statistic has a similar linear decomposition. Exploiting these observations, the authors devise diagnostic methods that are useful for interpreting maximum-likelihood parameter estimates and likelihood ratio tests. They apply the methods to estimating and testing two real business-cycle models and reject the standard model in favor of an alternative in which capital investment requires a planning period.

Keywords: Business cycles; Econometric models (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-dge, nep-ecm and nep-ets
Date: 1999
View list of references View citations in EconPapers

Downloads: (external link)
http://www.clevelandfed.org/research/workpaper/1999/Wp9901.pdf (application/pdf)

Related works:
Working Paper: Maximum likelihood in the frequency domain: a time to build example (1999)
Working Paper: Maximum Likelihood in the Frequency Domain: A Time to Build Example (1999)
Working Paper: Maximum Likelihood in the Frequency Domain: a Time to Build Example (1999)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:fip:fedcwp:9901

Ordering information: This working paper can be ordered from

Access Statistics for this paper

More papers in Working Paper from Federal Reserve Bank of Cleveland
Contact information at EDIRC.
Series data maintained by Diane Rosenberger ().