Comparisons of Estimators and Tests Based on Modified Likelihood And Message Length Functions
AbstractThe presence of nuisance parameters causes unexpected complications in econometric inference problems. A number of modified likelihood and message length functions have been developed for better handling of nuisance parameters but all of them are not equally efficient. In this paper, we empirically compare different modified likelihood and message length functions in the context of estimation and testing of parameters from linear regression disturbances that follow either a first-order moving average of firts-order autoregressive error processes.
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Bibliographic InfoPaper provided by Monash University, Department of Econometrics and Business Statistics in its series Monash Econometrics and Business Statistics Working Papers with number 6/98.
Length: 34 pages
Date of creation: 1998
Date of revision:
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Postal: PO Box 11E, Monash University, Victoria 3800, Australia
Web page: http://www.buseco.monash.edu.au/depts/ebs/
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Other versions of this item:
- Lasker, M.R. & King, M.L., 1998. "Comparisons of Estimators and Tests Based on Modified Likelihood and Message Length Functions," Monash Econometrics and Business Statistics Working Papers 11/98, Monash University, Department of Econometrics and Business Statistics.
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
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