Exact Maximum Likelihood Estimation of Regression Models with Finite Order Moving Average Errors

DOI10.2307/2297215zbMath0358.62046OpenAlexW2044188680MaRDI QIDQ4130782

D. F. Nicholls, Adrian R. Pagan

Publication date: 1976

Published in: The Review of Economic Studies (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2297215

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05)

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Coefficient constancy test in AR-ARCH models ⋮ Modified Lagrange multiplier tests for problems with one-sided alternatives ⋮ Bayes inference in regression models with ARMA\((p,q)\) errors ⋮ Prediction in random coefficient regression ⋮ J. DENIS SARGAN AND THE ORIGINS OF LSE ECONOMETRIC METHODOLOGY ⋮ The misspecification of dynamic regression models ⋮ The behaviour of inconsistent instrumental variables estimators in dynamic systems with autocorrelated errors ⋮ Asymptotic distribution of least square estimators for linear models with dependent errors ⋮ Improved inference for moving average disturbances in nonlinear regression models ⋮ Refined instrumental variable methods of recursive time-series analysis Part II. Multivariable systems ⋮ Refined instrumental variable methods of recursive time-series analysis Part I. Single input, single output systems ⋮ Advanced methods of recursive time-series analysis

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