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A remark on serial correlation in maximum likelihood

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  • Levine, David

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File URL: http://www.sciencedirect.com/science/article/B6VC0-459B5SR-K/2/dd64ccb11315faff916c06b9a1e47a2d
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Bibliographic Info

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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References

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  1. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-38, May.
  2. Kohn, R., 1978. "Local and global identification and strong consistency in time series models," Journal of Econometrics, Elsevier, vol. 8(3), pages 269-293, December.
  3. White, Halbert & Domowitz, Ian, 1984. "Nonlinear Regression with Dependent Observations," Econometrica, Econometric Society, vol. 52(1), pages 143-61, January.
  4. Bowden, Roger J, 1973. "The Theory of Parametric Identification," Econometrica, Econometric Society, vol. 41(6), pages 1069-74, November.
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Cited by:
  1. 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.
  2. Vassilis A. Hajivassiliou, 1986. "Temporal Dependence in Limited Dependent Variable Models: Theoretical and Monte-Carlo Results," Cowles Foundation Discussion Papers 803, Cowles Foundation for Research in Economics, Yale University.
  3. Hausman, Jerry A. & Lo, Andrew W. & MacKinlay, A. Craig, 1992. "An ordered probit analysis of transaction stock prices," Journal of Financial Economics, Elsevier, vol. 31(3), pages 319-379, June.
  4. 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.
  5. Andrews, Donald W K & Monahan, J Christopher, 1992. "An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator," Econometrica, Econometric Society, vol. 60(4), pages 953-66, July.
  6. Andrew V. Carter & Douglas G. Steigerwald, 2012. "Testing for Regime Switching: A Comment," Econometrica, Econometric Society, vol. 80(4), pages 1809-1812, 07.
  7. Laura Turner & Giovanni Gallipoli, 2011. "Social Security, Endogenous Retirement, and Intrahousehold Cooperation," 2011 Meeting Papers 935, Society for Economic Dynamics.

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