ASYMPTOTICS OF ML ESTIMATOR FOR REGRESSION MODELS WITH A STOCHASTIC TREND COMPONENT

DOI10.1017/S0266466699151028zbMath0962.62119OpenAlexW2114770358WikidataQ129991992 ScholiaQ129991992MaRDI QIDQ4700852

Biing-Shen Kuo

Publication date: 19 June 2001

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466699151028

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items

Marginal likelihood and unit roots ⋮ Likelihood Ratio Tests in Linear Mixed Models with One Variance Component ⋮ Objective Bayesian analysis for Gaussian hierarchical models with intrinsic conditional autoregressive priors ⋮ Tests for the variance parameter in the Fay–Herriot model ⋮ Restricted Likelihood Ratio Lack-of-Fit Tests Using Mixed Spline Models ⋮ Objective Bayesian analysis of spatial data with measurement error ⋮ Likelihood functions for state space models with diffuse initial conditions