Estimation Methods Comparison of SVAR Models with a Mixture of Two Normal Distributions
AbstractThis paper addresses the issue of obtaining maximum likelihood estimates of parameters for structural VAR models with a mixture of distributions. Hence the problem does not have a closed form solution, numerical optimization procedures need to be used. A Monte Carlo experiment is designed to compare the performance of four maximization algorithms and two estimation strategies. It is shown that the EM algorithm outperforms the general maximization algorithms such as BFGS, NEWTON and BHHH. Moreover, simplification of the problem introduced in the two steps quasi ML method does not worsen small sample properties of the estimators and therefore may be recommended in the empirical analysis.
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Bibliographic InfoArticle provided by CEJEME in its journal Central European Journal of Economic Modelling and Econometrics.
Volume (Year): 2 (2010)
Issue (Month): 4 (September)
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Web page: http://cejeme.org/
Structural vector autoregression; error correction models; mixed normal distributions; Monte Carlo;
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
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