Distribution of the ML estimator of a MA (1) and a local level model

Distribution of the ML estimator of a MA (1) and a local level model

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Although considerable attention has recently been paid to the behavior of the maximum likelihood estimator of simple moving average models, little progress has been made in finding a good approximation to its distribution in cases where the process is close to being noninvertible. In this paper a me...

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Библиографические подробности
Главный автор:	Shephard, N
Формат:	Journal article
Язык:	English
Опубликовано:	Cambridge University Press 1993
Предметы:	Econometrics Economics

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