Nadarajah, K.; Martin, Gael M.; Poskitt, D.S. - Department of Econometrics and Business Statistics, … - 2014
domain maximum likelihood, Whittle estimation, time domain maximum likelihood and conditional sum of squares. We show that … time domain estimators can be observed - in terms of the accuracy with which the finite sample distributions replicate the … common asymptotic distribution - with the time domain estimators exhibiting a closer match overall. Simulation experiments …