Econometric Modelling with Time Series

Specification, Estimation and Testing

PART THREE: Other Estimation Methods

Chapter 9: Quasi-Maximum Likelihood Estimation

(1) Graphical Analysis

qmle_graph.g
qmle_graph.m
qmle_graph.R

(2) Bernoulli Distribution

qmle_bernoulli.g
qmle_bernoulli.m
qmle_bernoulli.R

(3) Poisson Distribution

qmle_poisson.g
qmle_poisson.m
qmle_poisson.R

(4) Duration Analysis

qmle_exponential.g
qmle_exponential.m
qmle_exponential.R

(5) Effect of Misspecifying the Log-likelihood Function

qmle_student1.g
qmle_student1.m
qmle_student1.R

(6) Student t and Normal Distributions

qmle_student2.g
qmle_student2.m
qmle_student2.R

(7) Linear Regression Model

qmle_ols.g
qmle_ols.m
qmle_ols.R

(8) Simulation Experiment

qmle_ols_simul.g
qmle_simul_ols.m
qmle_simul_ols.R

(9) United States Investment

qmle_invest.g qmle_invest.m qmle_invest.R

investment.xls investiment.xlsx investment.mat investment.Rdata

(10) Autoregressive Models for Count Data

qmle_nbar1reg.g
qmle_nbar1reg.m
qmle_nbar1reg.R

(11) Forward Market Efficiency

sf.dat

(12) The CKLS Model of Interest Rates

qmle_ckls.g qmle_ckls.m qmle_ckls.R

eurod.mat eurod.dat eurod.Rdata