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A remark on serial correlation in maximum likelihood

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Author Info
Levine, David
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File URL: http://www.sciencedirect.com/science/article/B6VC0-459B5SR-K/2/dd64ccb11315faff916c06b9a1e47a2d
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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 23 (1983)
Issue (Month): 3 (December)
Pages: 337-342
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Handle: RePEc:eee:econom:v:23:y:1983:i:3:p:337-342

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Web page: http://www.elsevier.com/locate/jeconom

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  1. Jerry A. Hausman & Andrew W. Lo & A. Craig MacKinlay, 1991. "An Ordered Probit Analysis of Transaction Stock Prices," NBER Working Papers 3888, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  2. Yongmiao Hong & Jin Lee, 2000. "Wavelet-based Estimation for Heteroskedasticity and Autocorrelation Consistent Variance-Covariance Matrices," Econometric Society World Congress 2000 Contributed Papers 1211, Econometric Society. [Downloadable!]
  3. Benedikt M. Potscher & Ingmar R. Prucha, 1994. "On the Formulation of Uniform Laws of Large Numbers: A Truncation Approach," NBER Technical Working Papers 0085, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  4. Vassilis A. Hajivassiliou, 1986. "Temporal Dependence in Limited Dependent Variable Models: Theoretical and Monte-Carlo Results," Cowles Foundation Discussion Papers 803, Cowles Foundation, Yale University. [Downloadable!]
  5. Donald W.K. Andrews & Christopher J. Monahan, 1990. "An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator," Cowles Foundation Discussion Papers 942, Cowles Foundation, Yale University. [Downloadable!]
    Other versions:
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This page was last updated on 2009-11-13.


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