A remark on serial correlation in maximum likelihood

DOI10.1016/0304-4076(83)90062-3MaRDI QIDQ1053401zbMATH OpenOpenAlexFDO

Authors J. Blot

Publication date 1983

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL http://www.econ.ucla.edu/workingpapers/wp215.pdf

zbMATH Keywords

asymptotic normalityconsistencymaximum likelihood estimationserial correlation

Mathematics Subject Classification ID

Point estimation (62F10) Non-Markovian processes: estimation (62M09) Applications of statistics to economics (62P20)

Cites work

• A CLASS OF STATIONARY PROCESSES AND A CENTRAL LIMIT THEOREM
• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• A maximal inequality and dependent strong laws
• A Proof of the Consistency of Maximum Likelihood Estimators of Nonlinear Regression Models with Autocorrelated Errors
• Asymptotic Properties of Maximum Likelihood Estimators for the Independent Not Identically Distributed Case
• Asymptotic Properties of Non-Linear Least Squares Estimators
• scientific article; zbMATH DE number 3103824 (Why is no real title available?)
• Local and global identification and strong consistency in time series models
• Note on the Consistency of the Maximum Likelihood Estimate

Cited in

(4)

• A functional version of the Birkhoff ergodic theorem for a normal integrand: A variational approach
• Basic structure of the asymptotic theory in dynamic nonlineaerco nometric models, part i: consistency and approximation concepts
• On the formulation of uniform laws of large numbers: a truncation approach
• Local projections in unstable environments

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