Third-order inference for autocorrelation in nonlinear regression models

DOI10.1016/j.jspi.2011.04.019zbMath1221.62102MaRDI QIDQ2276174

P. E. Nguimkeu, Marie Rekkas

Publication date: 1 August 2011

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2011.04.019

zbMATH Keywords

\(p\)-value; likelihood analysis

Mathematics Subject Classification ID

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

62F03: Parametric hypothesis testing

62H15: Hypothesis testing in multivariate analysis

62J02: General nonlinear regression

65C05: Monte Carlo methods

91D20: Mathematical geography and demography

Related Items

Improved inference for moving average disturbances in nonlinear regression models, Improved likelihood-based inference in Birnbaum-Saunders nonlinear regression models

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Improved likelihood-based inference for the stationary AR(2) model
• Improved inference for first-order autocorrelation using likelihood analysis
• Modified signed log likelihood ratio
• Probit with Dependent Observations
• Saddle point approximation for the distribution of the sum of independent random variables
• Statistical Inference in an Implicit, Nonlinear, Simultaneous Equation Mode in the Context of Maximum Likelihood Estimation
• Testing for Autocorrelated Disturbances in Nonlinear Regression Analysis
• The Maximum Likelihood and the Nonlinear Three-Stage Least Squares Estimator in the General Nonlinear Simultaneous Equation Model
• A simple general formula for tail probabilities for frequentist and Bayesian inference