TY  - JOUR
AU  - Diebold,Francis X.
AU  - Schuermann,Til
TI  - Exact Maximum Likelihood Estimation of Observation-Driven Econometric   Models
JF  - National Bureau of Economic Research Technical Working Paper Series
VL  - No. 194
PY  - 1996
Y2  - April 1996
UR  - http://www.nber.org/papers/t0194
L1  - http://www.nber.org/papers/t0194.pdf
N1  - Author contact info:
Francis X. Diebold
Department of Economics
University of Pennsylvania
3718 Locust Walk
Philadelphia, PA  19104-6297
Tel: 215/898-1507
Fax: 212/573-4217
E-Mail: fdiebold@sas.upenn.edu

Til Schuermann
Federal Reserve Bank of New York
33 Liberty Street
New York, NY  10045
E-Mail: no email available
AB  - The possibility of exact maximum likelihood estimation of many observation-driven models remains an open question.  Often only approximate maximum likelihood estimation is attempted, because the unconditional density needed for exact estimation is not known in closed form.  Using simulation and nonparametric density estimation techniques that facilitate empirical likelihood evaluation, we develop an exact maximum likelihood procedure.  We provide an illustrative application to the estimation of ARCH models, in which we compare the sampling properties of the exact estimator to those of several competitors.  We find that, especially in situations of small samples and high persistence, efficiency gains are obtained.  We conclude with a discussion of directions for future research, including application of our methods to panel data models.
ER  -