Narrow search
Showing 1 - 10 of 36,225
Cover Image
Maximum Likelihood Estimation for Generalized Autoregressive Score Models
Blasques, Francisco; Koopman, Siem Jan; Lucas, Andre - 2014
processes. We formulate primitive conditions for global identification, invertibility, strong consistency, asymptotic normality …We study the strong consistency and asymptotic normality of the maximum likelihood estimator for a class of time series …
Persistent link: https://www.econbiz.de/10010377233
Cover Image
Maximum likelihood estimation for generalized autoregressive score models
Blasques, Francisco; Koopman, Siem Jan; Lucas, André - 2014
processes. We formulate primitive conditions for global identification, invertibility, strong consistency, and asymptotic …We study the strong consistency and asymptotic normality of the maximum likelihood estimator for a class of time series …
Persistent link: https://www.econbiz.de/10010250505
Cover Image
Maximum Likelihood Estimation for Correctly Specified Generalized Autoregressive Score Models: Feedback Effects, Contraction Conditions and Asymptotic Properties
Blasques, Francisco; Koopman, Siem Jan; Lucas, and André - 2014
The strong consistency and asymptotic normality of the maximum likelihood estimator in observation-driven models … which the (local) invertibility of the model follows directly from the stable behavior of the true time varying parameter …. We use these results to prove the local strong consistency and asymptotic normality of the maximum likelihood estimator …
Persistent link: https://www.econbiz.de/10010491303
Cover Image
Maximum likelihood estimation for correctly specified generalized autoregressive score models : feedback effects, contraction conditions and asymptotic properties
Blasques, Francisco; Koopman, Siem Jan; Lucas, André - 2014
The strong consistency and asymptotic normality of the maximum likelihood estimator in observation-driven models … which the (local) invertibility of the model follows directly from the stable behavior of the true time varying parameter …. We use these results to prove the local strong consistency and asymptotic normality of the maximum likelihood estimator …
Persistent link: https://www.econbiz.de/10010364739
Cover Image
Maximum Likelihood Estimation for correctly Specified Generalized Autoregressive Score Models: Feedback Effects, Contraction Conditions and Asymptotic Properties
Blasques, Francisco; Koopman, Siem Jan; Lucas, André - Tinbergen Instituut - 2014
The strong consistency and asymptotic normality of the maximum likelihood estimator in observation-driven models … which the (local) invertibility of the model follows directly from the stable behavior of the true time varying parameter …. We use these results to prove the local strong consistency and asymptotic normality of the maximum likelihood estimator …
Persistent link: https://www.econbiz.de/10011272581
Cover Image
Maximum likelihood estimation for non-stationary location models with mixture of normal distributions
Blasques, Francisco; van Brummelen, Janneke; Gorgi, Paolo; … - 2022
robust filtering and forecasting. We provide sufficient conditions for the strong consistency and asymptotic normality of the …
Persistent link: https://www.econbiz.de/10012797266
Cover Image
Maximum likelihood estimation for non-stationary location models with mixture of normal distributions
Blasques, Francisco; Brummelen, Janneke van; Gorgi, Paolo; … - 2022
robust filtering and forecasting. We provide sufficient conditions for the strong consistency and asymptotic normality of the …
Persistent link: https://www.econbiz.de/10012795401
Cover Image
Estacionariedad, cambios estructurales y crecimiento económico en México: 1895-2008
Noriega, Antonio E.; Rodríguez-Pérez, Cid Alonso - 2011
This paper shows that the evolution of the level of Mexico real and real per capita output between 1895 and 2008 can be adequately described through a trendstationary model, affected by 4 structural breaks, which occurred at dates that seem to coincide with domestic institutional arrangements,...
Persistent link: https://www.econbiz.de/10010322550
Cover Image
Finite-Sample Stability of the KPSS Test
Jönsson, Kristian - 2006
in choosing what test implementation to employ when testing for stationarity in small-sample situations. …
Persistent link: https://www.econbiz.de/10013208507
Cover Image
Stationarity, structural breaks, and economic growth in Mexico: 1895-2008
Noriega, Antonio E.; Rodríguez-Pérez, Cid Alonso - Banco de México - 2011
This paper shows that the evolution of the level of Mexico real and real per capita output between 1895 and 2008 can be adequately described through a trendstationary model, affected by 4 structural breaks, which occurred at dates that seem to coincide with domestic institutional arrangements,...
Persistent link: https://www.econbiz.de/10009318030