Maximum Likelihood Estimation of Regression Models With Stochastic Trend Components

DOI10.2307/2290340zbMATH Open0775.62242OpenAlexW4246136650MaRDI QIDQ5288915FDOQ5288915

Authors: Neil Shephard 

Publication date: 2 September 1993

Full work available at URL: https://doi.org/10.2307/2290340

Mathematics Subject Classification ID

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

Cited In (13)

• Bootstrap for correcting the mean square error of prediction and smoothed estimates in structural models
• Marginal likelihood and unit roots
• Temporal disaggregation by state space methods: Dynamic regression methods revisited
• Detecting shocks: Outliers and breaks in time series
• Parameter estimation in semi-linear models using a maximal invariant likelihood function
• Likelihood functions for state space models with diffuse initial conditions
• Unit roots in moving averages beyond first order
• Fiducial generalized \(p\)-values for testing zero-variance components in linear mixed-effects models
• Inference in semi-parametric spline mixed models for longitudinal data
• Maximal invariant likelihood based testing of semi-linear models
• Estimation of vector error correction models with mixed-frequency data
• Bootstrap tests for variance components in generalized linear mixed models
• Inference for regression models with errors from a non-invertible MA(1) process

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