[Advances in Econometrics] Maximum Simulated Likelihood Methods and Applications Volume 26 || A comparison of the maximum simulated likelihood and composite marginal likelihood estimation approaches in the context of the multivariate ordered-response model

✍ Scribed by Greene, William; Carter Hill, R.

• Book ID: 121870005
• Publisher: Emerald Group Publishing Limited
• Year: 2010
• Tongue: English
• Weight: 278 KB
• Edition: 1
• Volume: 10.1108/S0731-9053(2010)26
• Category: Article
• ISBN: 0857241508
• ISSN: 0731-9053
• DOI: 10.1108/S0731-9053(2010)0000026007

✦ Synopsis

This volume is a collection of methodological developments and applications of simulation-based methods that were presented at a workshop at Louisiana State University in November, 2009. The first two papers are extensions of the GHK simulator: one reconsiders the computation of the probabilities in a discrete choice model while another example uses an adaptive version of sparse-grids integration (SGI) instead of simulation. Two studies are focused specifically on the methodology: the first compares the performance of the maximum-simulated likelihood (MSL) approach with a proposed composite marginal likelihood (CML) approach in multivariate ordered-response situations, while the second examines methods of testing for the presence of heterogeneity in the heterogeneity model. Further topics examined include: education savings accounts, parent contributions and education attainment; estimating the effect of exchange rate flexibility on financial account openness; estimating a fractional response model with a count endogenous regressor; and modelling and forecasting volatility in a bayesian approach.