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Maximum likelihood vs. minimum sum-of-squares estimation of the autocorrelated error model

Park, Rolla Edward; Mitchell, Bridger M. - 1979

Persistent link: https://www.econbiz.de/10000006250

Finite-sample properties of the maximum likelihood estimator in autoregressive models with Markov switching

Psaradakis, Zacharias; Sola, Martin - 1996

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Estimation of heterogeneous autoregressive parameters with short panel data

Mavroeidis, Sophocles; Sasaki, Yuya; Welch, Ivo - In: Journal of econometrics 188 (2015) 1, pp. 219-235

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Maximum likelihood estimation of a spatial autoregressive Tobit model

Xu, Xingbai; Lee, Lung-fei - In: Journal of econometrics 188 (2015) 1, pp. 264-280

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Asymptotic inference in multiple-threshold double autoregressive models

Li, Dong; Ling, Shiqing; Zakoïan, Jean-Michel - In: Journal of econometrics 189 (2015) 2, pp. 415-427

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Refinements in maximum likelihood inference on spatial autocorrelation in panel data

Robinson, Peter M.; Rossi, Francesca - In: Journal of econometrics 189 (2015) 2, pp. 447-456

Persistent link: https://www.econbiz.de/10011504614

Neglected serial correlation tests in UCARIMA models

Fiorentini, Gabriele; Sentana, Enrique - In: SERIEs : Journal of the Spanish Economic Association 7 (2016) 1, pp. 121-178

We derive computationally simple and intuitive score tests of neglected serial correlation in unobserved component univariate models using frequency domain techniques. In some common situations in which the alternative model information matrix is singular under the null, we derive one-sided...

Persistent link: https://www.econbiz.de/10011458802

QML estimation of the matrix exponential spatial specification panel data model with fixed effects and heteroskedasticity

Zhang, Yuanqing; Feng, Shuhui; Jin, Fei - In: Economics letters 180 (2019), pp. 1-5

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Identification and QML estimation of multivariate and simultaneous equations spatial autoregressive models

Yang, Kai; Lee, Lung-fei - In: Journal of econometrics 196 (2017) 1, pp. 196-214

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Exact and higher-order properties of the MLE in spatial autoregressive models, with applications to inference

Hillier, Grant H.; Martellosio, Federico - In: Journal of econometrics 205 (2018) 2, pp. 402-422

Persistent link: https://www.econbiz.de/10012110309