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Maximum quasilikelihood estimation for a simplified NEAR(1) model


  • Perera, Subashan


As 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.

Suggested Citation

  • Perera, Subashan, 2002. "Maximum quasilikelihood estimation for a simplified NEAR(1) model," Statistics & Probability Letters, Elsevier, vol. 58(2), pages 147-155, June.
  • Handle: RePEc:eee:stapro:v:58:y:2002:i:2:p:147-155

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    References listed on IDEAS

    1. De Dominicis, Rodolfo, 1983. "Asymptotic normal distribution of multidimensional statistics of dependent random variables," Journal of Multivariate Analysis, Elsevier, vol. 13(2), pages 302-309, June.
    2. Ellis, Richard S. & Wang, Kongming, 1990. "Limit theorems for the empirical vector of the Curie-Weiss-Potts model," Stochastic Processes and their Applications, Elsevier, vol. 35(1), pages 59-79, June.
    3. Wang, Kongming, 1994. "Solutions of the variational problem in the Curie--Weiss--Potts model," Stochastic Processes and their Applications, Elsevier, vol. 50(2), pages 245-252, April.
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