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

Lawrence Christiano () and Robert Vigfusson ()

No 9901, Working Papers (Old Series) 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)
Date: 1999, Revised 1999
New Economics Papers: this item is included in nep-dge, nep-ecm and nep-ets
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Working Paper: Maximum likelihood in the frequency domain: a time to build example (1999) Downloads
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) Downloads
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