On the probability of estimating a deterministic component in the local level model

On the probability of estimating a deterministic component in the local level model

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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...

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Dettagli Bibliografici
Autori principali:	Harvey, A, Shephard, N
Natura:	Journal article
Lingua:	English
Pubblicazione:	Blackwell Publishing 1990
Soggetti:	Econometrics Economics

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