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

DOI10.1017/S0266466699151028MaRDI QIDQ4700852zbMATH OpenOpenAlexWikidataFDO

Authors 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) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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• Likelihood Ratio Tests in Linear Mixed Models with One Variance Component
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• Tests for the variance parameter in the Fay-Herriot model

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