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This chapter contains the core toolkit to apply 2TSF models. We present estimation methods (maximum likelihood, corrected OLS, generalized method of moments) as well as the main distributional specifications (Normal-Exponential and Normal-Half Normal). All required mathematical formulas to compute the metrics of Chap. 2 are also given. The chapter closes with informal diagnostics and formal statistical tests for model selection that is also the focus of the empirical application of the chapter.

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Estimation Methods and Statistical Specifications

  • 章节

  • 发表日期：

    2025年

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  • Alecos Papadopoulos,
  • Christopher F. Parmeter

摘要

This chapter contains the core toolkit to apply 2TSF models. We present estimation methods (maximum likelihood, corrected OLS, generalized method of moments) as well as the main distributional specifications (Normal-Exponential and Normal-Half Normal). All required mathematical formulas to compute the metrics of Chap. 2 are also given. The chapter closes with informal diagnostics and formal statistical tests for model selection that is also the focus of the empirical application of the chapter.