On the probability of estimating a deterministic component in the local level model
A local level model has a deterministic level when the signal-to-noise ratio q is zero. In this paper we investigate the properties of the maximum likelihood estimator of q, paying particular attention to the case where its true value is zero. These properties are shown to be crucially dependent on...
| Main Authors: | , |
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| פורמט: | Journal article |
| שפה: | English |
| יצא לאור: |
Blackwell Publishing
1990
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| נושאים: |
| _version_ | 1826292623896215552 |
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| author | Harvey, A Shephard, N |
| author_facet | Harvey, A Shephard, N |
| author_sort | Harvey, A |
| collection | OXFORD |
| description | A local level model has a deterministic level when the signal-to-noise ratio q is zero. In this paper we investigate the properties of the maximum likelihood estimator of q, paying particular attention to the case where its true value is zero. These properties are shown to be crucially dependent on the initial conditions employed. |
| first_indexed | 2024-03-07T03:17:34Z |
| format | Journal article |
| id | oxford-uuid:b64fc3b5-5f50-41c4-aace-9f8837c6822d |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-07T03:17:34Z |
| publishDate | 1990 |
| publisher | Blackwell Publishing |
| record_format | dspace |
| spelling | oxford-uuid:b64fc3b5-5f50-41c4-aace-9f8837c6822d2022-03-27T04:40:05ZOn the probability of estimating a deterministic component in the local level modelJournal articlehttp://purl.org/coar/resource_type/c_dcae04bcuuid:b64fc3b5-5f50-41c4-aace-9f8837c6822dEconometricsEconomicsEnglishOxford University Research Archive - ValetBlackwell Publishing1990Harvey, AShephard, NA local level model has a deterministic level when the signal-to-noise ratio q is zero. In this paper we investigate the properties of the maximum likelihood estimator of q, paying particular attention to the case where its true value is zero. These properties are shown to be crucially dependent on the initial conditions employed. |
| spellingShingle | Econometrics Economics Harvey, A Shephard, N On the probability of estimating a deterministic component in the local level model |
| title | On the probability of estimating a deterministic component in the local level model |
| title_full | On the probability of estimating a deterministic component in the local level model |
| title_fullStr | On the probability of estimating a deterministic component in the local level model |
| title_full_unstemmed | On the probability of estimating a deterministic component in the local level model |
| title_short | On the probability of estimating a deterministic component in the local level model |
| title_sort | on the probability of estimating a deterministic component in the local level model |
| topic | Econometrics Economics |
| work_keys_str_mv | AT harveya ontheprobabilityofestimatingadeterministiccomponentinthelocallevelmodel AT shephardn ontheprobabilityofestimatingadeterministiccomponentinthelocallevelmodel |