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Efficient estimation of autoregression parameters and innovation distributions for semiparametric integer-valued AR(p) models

Drost, Feike C. (contributor); … - 2007

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Essays in the econometrics of dynamic duration models with application to tick by tick financial data

Galli, Fausto - 2009

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Maximum likelihood estimators in regression models with infinite variance innovations

Paulaauskas, Vygantas; Rachev, Svetlozar T. - In: Statistical papers 44 (2003) 1, pp. 47-65

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Consistency and efficiency of least squares estimation for mixed regressive, spatial autoregressive models

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Efficient estimation of autoregression parameters and innovation distributions for semiparametric integer-valued AR(p) models

Drost, Feike C. (contributor); … - 2008 - Rev. version of CentER Discussion Paper 2007-23

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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