Quasi-Maximum Likelihood for Estimating Structural Models
Bibliographic record
Abstract
The estimation of the structural model poses a major challenge because its underlying asset (the firm asset value) is not directly observable. We consider an extended structural model that accommodates alternative underlying Markov processes, arbitrary debt payment schedules, several seniority classes, multiple intangible assets, and various intangible corporate securities. We derive the likelihood function given the observed time series of the firm equity values. Then, we use dynamic programming to solve the model and, simultaneously, extract the associated time series of the firm asset values (the pseudo-observations). Finally, the likelihood function is approximated and optimized, which results in the quasi-maximum likelihood (QML) estimates of the model's unknown parameters. QML is highly flexible and effective. To assess our construction, we perform an empirical investigation, highlight the credit-spread puzzle, and discuss a partial remedy via jumps and bankruptcy costs.
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How this classification was reachedexpand
Full frame machine prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. The Gemma side is a direct model label for every work in the frame, read from the title-only record. The Codex side is a classifier learned from the 10,348 direct Codex labels and calibrated to design-weighted sample rates; fields without enough sample support carry no Codex call. Candidate is the union of the two sides; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels.
Distilled classifier scores by category (both heads)
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.010 | 0.047 |
| Meta-epidemiology (narrow) | 0.002 | 0.002 |
| Meta-epidemiology (broad) | 0.002 | 0.002 |
| Bibliometrics | 0.002 | 0.003 |
| Science and technology studies | 0.001 | 0.002 |
| Scholarly communication | 0.002 | 0.003 |
| Open science | 0.004 | 0.002 |
| Research integrity | 0.002 | 0.004 |
| Insufficient payload (model declined to judge) | 0.007 | 0.002 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one source (direct Gemma or distilled Codex), not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".