Comparing estimation methods of non-stationary errors-in-variables models

DOI10.1007/s42081-019-00051-1zbMath1447.62131OpenAlexW2951528980MaRDI QIDQ2195520

Naoki Awaya, Daisuke Kurisu, Naoto Kunitomo

Publication date: 26 August 2020

Published in: Japanese Journal of Statistics and Data Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s42081-019-00051-1

zbMATH Keywords

asymptotic robustnessmaximum likelihood (ML)separating information maximum likelihood (SIML)\(\mathbf{K}_n\)-transformationnon-stationary economic time seriesnon-stationary errors-in-variables modelsreduced rank and co-integrated trendsSILS

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) General second-order stochastic processes (60G12) Economic time series analysis (91B84) Stochastic systems in control theory (general) (93E03)

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