Chang, Yoosoon; Isaac Miller, J.; Park, Joon Y. - In: Journal of Econometrics 150 (2009) 2, pp. 231-247
This paper investigates the statistical properties of estimators of the parameters and unobserved series for state space models with integrated time series. In particular, we derive the full asymptotic results for maximum likelihood estimation using the Kalman filter for a prototypical class of...
