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

Veure altres versions (1)

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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Dades bibliogràfiques
Autors principals:	Harvey, A, Shephard, N
Format:	Journal article
Idioma:	English
Publicat:	Blackwell Publishing 1990
Matèries:	Econometrics Economics

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