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Maximum Likelihood in the Frequency Domain: A Time to Build Example / Lawrence J. Christiano, Robert J. Vigfusson.
- Format:
- Book
- Author/Creator:
- Christiano, Lawrence J.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w7027.
- NBER working paper series no. w7027
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Other Title:
- Maximum Likelihood in the Frequency Domain
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 1999.
- Summary:
- A well known result is that the Gaussian log-likelihood can be expressed as the sum over different frequency components. This implies that the likelihood ratio statistic has a similar linear decomposition. We exploit these observations to devise diagnostic methods that are useful for interpreting maximum likelihood parameter estimates and likelihood ratio tests. We apply the methods to the estimation and testing of two real business cycle models. The standard real business cycle model is rejected in favor of an alternative in which capital investment requires a planning period
- Notes:
- Print version record
- March 1999.
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