Maximum Likelihood Estimation of Regression Models With Stochastic Trend Components

DOI10.2307/2290340zbMath0775.62242OpenAlexW4246136650MaRDI QIDQ5288915

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)

Related Items (13)

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

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