Maximum quasilikelihood estimation for a simplified NEAR(1) model
AbstractAs alternatives to maximum likelihood estimation, conditional least squares (CLS) and maximum quasilikelihood estimation, with asymptotic properties, are investigated using a simplified NEAR(1) model. The maximum quasilikelihood estimator seems to perform better than the CLS estimator in simulations.
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Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 58 (2002)
Issue (Month): 2 (June)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
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