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

Pokaż inne wersje (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...

Szczegółowa specyfikacja

Opis bibliograficzny
Główni autorzy:	Harvey, A, Shephard, N
Format:	Journal article
Język:	English
Wydane:	Blackwell Publishing 1990
Hasła przedmiotowe:	Econometrics Economics

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