Maximum Likelihood in the Frequency Domain: A Time to Build Example

Lawrence Christiano and Robert Vigfusson

No 7027, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: A well known result is that 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. We exploit these observations to devise diagnostic methods that are useful for interpreting maximum likelihood parameter estimates and likelihood ratio tests. We apply the methods to the estimation and testing of two real business cycle models. The standard real business cycle model is rejected in favor of an alternative in which capital investment requires a planning period

JEL-codes: E2 E22 (search for similar items in EconPapers)
Date: 1999-03
New Economics Papers: this item is included in nep-dge, nep-ecm and nep-ets
Note: EFG
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Citations: View citations in EconPapers (4)

Published as Christiano, Lawrence J. and Robert J. Vigfusson. "Maximum Likelihood In The Frequency Domain: The Importance Of Time-To-Plan," Journal of Monetary Economics, 2003, v50(4,May), 789-815.

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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)
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