Working Paper
Maximum likelihood in the frequency domain: a time to build example
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.
https://doi.org/10.26509/frbc-wp-199901
Access Documents
File(s):
https://doi.org/10.26509/frbc-wp-199901
Description: Persistent link
File(s):
File format is application/pdf
https://www.clevelandfed.org/-/media/project/clevelandfedtenant/clevelandfedsite/publications/working-papers/1999/wp-9901-maximum-likelihood-in-the-frequency-domain-pdf.pdf
Description: Full text
Bibliographic Information
Provider: Federal Reserve Bank of Cleveland
Part of Series: Working Papers (Old Series)
Publication Date: 1999
Number: 9901