Marginal likelihood methods for distributed lag models

DOI10.1007/BF02932758MaRDI QIDQ4181163zbMATH OpenOpenAlexFDO

Authors 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

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

Cites work

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

Cited in

(5)

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

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