Local and global identification and strong consistency in time series models

DOI10.1016/0304-4076(78)90048-9zbMath0452.62074OpenAlexW2053809026MaRDI QIDQ1148645

S. H. Smith

Publication date: 1978

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

Full work available at URL: https://doi.org/10.1016/0304-4076(78)90048-9

zbMATH Keywords

strong consistencytime series modelslocal identificationglobal identificationsequence of criterion functionssimultaneous ARMAX model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items

Some identification and estimation results for regression models with stochastically varying coefficients, Some properties of the output error method, IDENTIFICATION THEORY FOR VARYING COEFFICIENT REGRESSION MODELS, A remark on serial correlation in maximum likelihood

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