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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
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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
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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
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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
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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
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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
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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
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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
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Spurious Regression
Ventosa-Santaulària, Daniel - Volkswirtschaftliche Fakultät, … - 2008
driftless unit roots, unit roots with drift, long memory, trend and broken-trend stationarity. Indeed, spurious regressions have …
Persistent link: https://www.econbiz.de/10011109521
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Finite-Sample Stability of the KPSS Test
Jönsson, Kristian - Nationalekonomiska Institutionen, Ekonomihögskolan - 2006
in choosing what test implementation to employ when testing for stationarity in small-sample situations. …
Persistent link: https://www.econbiz.de/10005645097