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

Taispeáin leaganacha eile (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...

Cur síos iomlán

Sonraí bibleagrafaíochta
Príomhchruthaitheoirí:	Harvey, A, Shephard, N
Formáid:	Journal article
Teanga:	English
Foilsithe / Cruthaithe:	Blackwell Publishing 1990
Ábhair:	Econometrics Economics

Míreanna comhchosúla

Distribution of the ML estimator of a MA (1) and a local level model
de réir: Shephard, N
Foilsithe / Cruthaithe: (1993)

On the probability of estimating a deterministic component in the local level model
de réir: Shephard, N, et al.
Foilsithe / Cruthaithe: (1990)

Local scale models: state space alternative to integrated GARCH processes
de réir: Shephard, N
Foilsithe / Cruthaithe: (1994)

Estimating quadratic variation using realized variance
de réir: Barndorff-Nielsen, O, et al.
Foilsithe / Cruthaithe: (2002)

Estimation of an asymmetric model of asset prices
de réir: Harvey, A
Foilsithe / Cruthaithe: (1996)

Likelihood-based estimation of latent generalised ARCH structures
de réir: Fiorentini, G, et al.
Foilsithe / Cruthaithe: (2004)

Dynamics of trade-by-trade price movements: decomposition and models
de réir: Rydberg, T, et al.
Foilsithe / Cruthaithe: (2003)

Exact score for time series models in state space form
de réir: Koopman, S, et al.
Foilsithe / Cruthaithe: (1992)

Analytic convergence rates and parameterisation issues for the Gibbs sampler applied to state space models
de réir: Pitt, M, et al.
Foilsithe / Cruthaithe: (1999)

Realised power variation and stochastic volatility models
de réir: Barndorff-Nielsen, O, et al.
Foilsithe / Cruthaithe: (2003)

Inference for adaptive time series models: stochastic volatility and conditionally Gaussian state space form
de réir: Bos, C, et al.
Foilsithe / Cruthaithe: (2006)

Markov chain Monte Carlo methods for stochastic volatility models
de réir: Chib, S, et al.
Foilsithe / Cruthaithe: (2002)

From characteristic function to distribution function: a simple framework for the theory
de réir: Shephard, N
Foilsithe / Cruthaithe: (1991)

Integrated OU processes and non-Gaussian OU-based stochastic volatility models
de réir: Barndorff-Nielsen, O, et al.
Foilsithe / Cruthaithe: (2003)

Statistical algorithms for models in state space form using SsfPack 2.2
de réir: Koopman, S, et al.
Foilsithe / Cruthaithe: (1999)

Simulation-based likelihood inference for limited dependent processes
de réir: Manrique, A, et al.
Foilsithe / Cruthaithe: (1998)

Detecting shocks: outliers and breaks in time series
de réir: Atkinson, A, et al.
Foilsithe / Cruthaithe: (1997)

Parallel computation in econometrics: a simplified approach
de réir: Doornik, J, et al.
Foilsithe / Cruthaithe: (2006)

Power variation and stochastic volatility: a review and some new results
de réir: Barndorff-Nielsen, O, et al.
Foilsithe / Cruthaithe: (2004)

Computationally-intensive econometrics using a distributed matrix-programming language
de réir: Doornik, J, et al.
Foilsithe / Cruthaithe: (2002)

Likelihood inference for discretely observed non-linear diffusions
de réir: Elerian, O, et al.
Foilsithe / Cruthaithe: (2001)

Econometric analysis of realised covariation: high frequency based covariance, regression and correlation in financial economics
de réir: Barndorff-Nielsen, O, et al.
Foilsithe / Cruthaithe: (2004)

Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
de réir: Barndorff-Nielsen, O, et al.
Foilsithe / Cruthaithe: (2005)

Power variation and time change
de réir: Barndorff-Nielsen, O, et al.
Foilsithe / Cruthaithe: (2006)

Power and bipower variation with stochastic volatility and jumps
de réir: Barndorff-Nielsen, O, et al.
Foilsithe / Cruthaithe: (2004)

Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics
de réir: Barndorff-Nielsen, O, et al.
Foilsithe / Cruthaithe: (2001)

Limit theorems for bipower variations in financial econometrics
de réir: Barndorff-Nielsen, O, et al.
Foilsithe / Cruthaithe: (2006)

Econometrics of testing for jumps in financial economics using bipower variation
de réir: Barndorff-Nielsen, O, et al.
Foilsithe / Cruthaithe: (2005)

Econometric modeling and inference /
de réir: 285891 Florens, J. P., et al.
Foilsithe / Cruthaithe: (2007)

Handbook of computrational econometrics /
de réir: 315105 Belsley, David A., et al.
Foilsithe / Cruthaithe: (2009)

A framework for forecasting the components of the Consumer Price Index
de réir: Aron, J, et al.
Foilsithe / Cruthaithe: (2004)

A dialogue concerning a new instrument for econometric modeling
de réir: Granger, C, et al.
Foilsithe / Cruthaithe: (2005)

Sub-sample model selection procedures in general-to-specific modelling
de réir: Hendry, D, et al.
Foilsithe / Cruthaithe: (2004)

Econometric methods and applications in modelling non-stationary climate data
de réir: Pretis, F
Foilsithe / Cruthaithe: (2015)

Spatial and temporal modeling of community non- timber forest extraction
de réir: Robinson, E, et al.
Foilsithe / Cruthaithe: (2006)

An investigation of age-period-cohort models for individual-level data
de réir: Fannon, Z
Foilsithe / Cruthaithe: (2016)

Probability, econometrics and truth : the methodology of econometrics /
de réir: 198792 Keuzenkamp, Hugo A.
Foilsithe / Cruthaithe: (2000)

Distributed lags : problems of estimation and formulation /
de réir: Dhrymes, Phoebus J., 1932-
Foilsithe / Cruthaithe: (1981)

Alcohol and Self-Control: A Field Experiment in India
de réir: Schilbach, Frank
Foilsithe / Cruthaithe: (2020)

Applied econometrics : a modern approach using eviews and microfit /
de réir: Asteriou, Dimitrios, 1973-, et al.
Foilsithe / Cruthaithe: (2007)