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On solving bias-corrected non-linear estimation equations with an application to the dynamic linear model

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  • Munir Mahmood
  • Maxwell L. King

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  • Munir Mahmood & Maxwell L. King, 2016. "On solving bias-corrected non-linear estimation equations with an application to the dynamic linear model," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 70(4), pages 332-355, November.
    • Handle: RePEc:bla:stanee:v:70:y:2016:i:4:p:332-355
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    References listed on IDEAS

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    1. Mak, T. K. & Wong, H. & Li, W. K., 1997. "Estimation of nonlinear time series with conditional heteroscedastic variances by iteratively weighted least squares," Computational Statistics & Data Analysis, Elsevier, vol. 24(2), pages 169-178, April.
    2. Conniffe, Denis, 1988. "Obtaining Expected Maximum Log Likelihood Estimators," Papers ME176, Economic and Social Research Institute (ESRI).
    3. Smith, Murray D., 1989. "On the expectation of a ratio of quadratic forms in normal variables," Journal of Multivariate Analysis, Elsevier, vol. 31(2), pages 244-257, November.
    4. I. D. Vrontos & P. Dellaportas & D. N. Politis, 2003. "A full-factor multivariate GARCH model," Econometrics Journal, Royal Economic Society, vol. 6(2), pages 312-334, December.
    5. Lai K. Chan & T. K. Mak, 2001. "Heteroscedastic Regression Models and Applications to Off‐line Quality Control," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 28(3), pages 445-454, September.
    6. Inder, Brett, 1986. "An Approximation to the Null Distribution of the Durbin-Watson Statistic in Models Containing Lagged Dependent Variables," Econometric Theory, Cambridge University Press, vol. 2(3), pages 413-428, December.
    7. Nankervis, J. C. & Savin, N. E., 1985. "Testing the autoregressive parameter with the t statistic," Journal of Econometrics, Elsevier, vol. 27(2), pages 143-161, February.
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