New exact ML estimation and inference for a Gaussian MA(1) process
For a Gaussian MA(1) process, a new exact ML estimator is proposed that avoids the pile-up phenomenon (boundary estimates). Finite sample comparison is undertaken, along with Wald-type inference for an MA unit root or over-differencing (stationarity).
Year of publication: |
2008
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Authors: | Vougas, Dimitrios V. |
Published in: |
Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 99.2008, 1, p. 172-176
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Publisher: |
Elsevier |
Saved in:
Online Resource
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