Econometric Modelling with Time Series

Specification, Estimation and Testing

PART ONE: Maximum Likelihood

Chapter 3: Numerical Estimation Methods

(1) Maximum Likelihood Estimation using Graphical Methods

max_graph.g
max_graph.m
max_graph.R

(2) Maximum Likelihood Estimation using Grid Searching

max_grid.g
max_grid.m
max_grid.R

(3) Maximum Likelihood Estimation using Newton-Raphson

max_nr.g
max_nr.m
max_nr.R
max_iter.g
max_iter.m
max_iter.R

(4) Exponential Distribution

max_exp.g
max_exp.m
max_exp.R

(5) Cauchy Distribution

max_cauchy.g
max_cauchy.m
max_cauchy.R

(6) Weibull Distribution

max_weibull.g
max_weibull.m
max_weibull.R

(7) Leptokurtosis in the Distribution of Asset Returns

max_returns.g max_returns.m max_returns.R

apple.csv ford.csv diversify.mat diversify.Rdata

(8) Simplex Algorithm

max_simplex.g
max_simplex.m
max_simplex.R

(9) Profile Log-likelihood Function

max_profile.g max_profile.m max_profile.R

apple.csv ford.csv diversify.mat diversify.Rdata

(10) Stationary Distribution of the CIR Model

max_stationary.g max_stationary.m max_stationary.R

eurodollar.dat eurodollar.mat eurodollar.Rdata

(11) Transitional Distribution of the CIR Model

max_transitional.g max_transitional.m max_transitional.R

eurodollar.dat eurodollar.mat eurodollar.Rdata

(12) Stationary and Transitional Distributions of a TAR Model

max_tar.g
max_tar.m
max_tar.R