Marginal likelihood methods for distributed lag models

DOI10.1007/BF02932758zbMath0397.62088OpenAlexW196790550MaRDI QIDQ4181163

David R. Bellhouse

Publication date: 1978

Published in: Statistische Hefte (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02932758

zbMATH Keywords

Sufficient StatisticsAncillary StatisticsConcentrated Likelihood FunctionElimination of Nuisance ParametersLagGed Variables ModelsMethod of Marginal LikelihoodPolynomial Distributed Lag ModelSingle Equation Distributed Lag ModelsStructural Disturbances

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Point estimation (62F10) Sufficient statistics and fields (62B05)

Related Items (5)

Hypothesis testing in the presence of nuisance parameters ⋮ On solving bias‐corrected non‐linear estimation equations with an application to the dynamic linear model ⋮ Parameter estimation in semi-linear models using a maximal invariant likelihood function ⋮ Marginal likelihood for parallel series ⋮ Marginal-likelihood score-based tests of regression disturbances in the presence of nuisance parameters

Cites Work

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• On the Inversion of the Sample Covariance Matrix in a Stationary Autoregressive Process
• The exact likelihood function for a mixed autoregressive-moving average process
• On the inverse of the covariance matrix of a first order moving average
• Estimation of autoregressive parameters from a marginal likelihood function
• Jacobians of singular transformations with applications to statistical distribution theory
• The Determination of Likelihood and the Transformed Regression Model

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