Article ID Journal Published Year Pages File Type
5059286 Economics Letters 2014 5 Pages PDF
Abstract
We propose a new sequential procedure for estimating multivariate distributions in cases when conventional maximum likelihood has too many parameters and is therefore inaccurate or non-operational. The procedure constructs a multivariate distribution and its pseudo-likelihood sequentially, in each step using lower-dimensional distributions with a small number of parameters. In an application, the procedure provides excellent fit when the dimension is moderate, and remains operational when the conventional method fails.
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Authors
, , ,