Noninvertibility and Pseudo-Maximum Likelihood Estimation of Misspecified ARMA Models
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Bibliographic InfoArticle provided by Cambridge University Press in its journal Econometric Theory.
Volume (Year): 7 (1991)
Issue (Month): 04 (December)
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- Findley, David F. & Potscher, Benedikt M. & Wei, Ching-Zong, 2004. "Modeling of time series arrays by multistep prediction or likelihood methods," Journal of Econometrics, Elsevier, vol. 118(1-2), pages 151-187.
- Vougas, Dimitrios V., 2008. "New exact ML estimation and inference for a Gaussian MA(1) process," Economics Letters, Elsevier, vol. 99(1), pages 172-176, April.
- Guyon, Xavier & Yao, Jian-feng, 1999. "On the Underfitting and Overfitting Sets of Models Chosen by Order Selection Criteria," Journal of Multivariate Analysis, Elsevier, vol. 70(2), pages 221-249, August.
- Luukkonen, Ritva & Saikkonen, Pentti, 1996. "Power of the Lagrange multiplier test for testing an autoregressive unit root," Economics Letters, Elsevier, vol. 51(1), pages 27-35, April.
- James Morley & Irina Panovska & Tara M. Sinclair, 2008. "A Likelihood Ratio Test of Stationarity Based on a Correlated Unobserved Components Model," Working Papers 2008-011, The George Washington University, Department of Economics, Research Program on Forecasting, revised Sep 2011.
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