Marginal likelihood and unit roots (Q276943): Difference between revisions

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+asymptotic distribution
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+autoregressive moving average model
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+hypothesis testing
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+https://doi.org/10.1016/j.jeconom.2005.10.005
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+The likelihood for a state space model
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+The diffuse Kalman filter
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+Distribution of the Estimators for Autoregressive Time Series With a Unit Root
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@@ Property / cites work @@
+Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
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@@ Property / cites work @@
+Optimal invariant tests for the autocorrelation coefficient in linear regressions with stationary or nonstationary AR(1) errors
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@@ Property / cites work @@
+Efficient Tests for an Autoregressive Unit Root
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+Bayesian inference for variance components using only error contrasts
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+Q5605537
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+Robust tests for spherical symmetry and their application to least squares regression
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+Exact Initial Kalman Filtering and Smoothing for Nonstationary Time Series Models
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@@ Property / cites work @@
+ASYMPTOTICS OF ML ESTIMATOR FOR REGRESSION MODELS WITH A  STOCHASTIC TREND COMPONENT
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+Limiting distributions of unconditional maximum likelihood unit root test statistics in seasonal time–series models
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+Q3747485
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+Estimation of autoregressive parameters from a marginal likelihood function
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+Tests for Unit Roots and the Initial Condition
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+LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
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+Recovery of inter-block information when block sizes are unequal
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+Marginal-likelihood score-based tests of regression disturbances in the presence of nuisance parameters
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+Maximum Likelihood Estimation of Regression Models With Stochastic Trend Components
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+Unit Root Tests Based on Unconditional Maximum Likelihood Estimation for the Autoregressive Moving Average
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+Q4892506
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+Publication:276943