Similar Search Results

Likelihood inference for dynamic linear models with Markov switching parameters : on the efficiency of the Kim filter

Kim, Young Min; Kang, Kyu Ho - In: Econometric reviews 38 (2019) 10, pp. 1109-1130

Persistent link: https://www.econbiz.de/10012181397

Mixed causal-noncausal autoregressions : bimodality issues in estimation and unit root testing

Bec, Frédérique; Bohn Nielsen, Heino; Sai͏̈di, Sarra - 2019

Persistent link: https://www.econbiz.de/10012237317

Initial conditions of dynamic panel data models : on within and between equations

Lee, Lung-fei; Yu, Jihai - In: The econometrics journal 23 (2020) 1, pp. 115-136

Persistent link: https://www.econbiz.de/10012167249

Properties of the maximum likelihood estimator in spatial autoregressive models

Hillier, Grant H.; Martellosio, Federico - 2013

The (quasi-) maximum likelihood estimator (MLE) for the autoregressive parameter in a spatial autoregressive model cannot in general be written explicitly in terms of the data. The only known properties of the estimator have hitherto been its first-order asymptotic properties (Lee, 2004,...

Persistent link: https://www.econbiz.de/10010126876