On The First-Order Efficiency And Asympotic Normality Of The Maximum Likelihood Estimator Obtained From Dependent Observations
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Abstract
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DOI: 10.22004/ag.econ.293068
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Other versions of this item:
- R.D.H. Heijmans & J.R. Magnus, 1986. "On The First–Order Efficiency And Asymptotic Normality Of Maximum Likelihood Estimators Obtained From Dependent Observations," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 40(3), pages 169-188, September.
- Heijmans, R.D.H. & Magnus, J.R., 1986. "On the first-order efficiency and asymptotic normality of maximum likelihood estimators obtained from dependent observations," Other publications TiSEM b2fc9176-e950-4580-90e6-5, Tilburg University, School of Economics and Management.
- Heijmans, R & Magnus, J, 1984. "On the first-order efficiency and asymptotic normality of the maximum likelihood estimator obtained from dependent observations," University of Amsterdam, Actuarial Science and Econometrics Archive 293077, University of Amsterdam, Faculty of Economics and Business.
Citations
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Cited by:
- Cem Ertur & Thiaw Kalidou, 2005. "Growth and Spatial Dependence - The Mankiw, Romer and Weil model revisited," ERSA conference papers ersa05p660, European Regional Science Association.
- Jan R. Magnus & Andrey L. Vasnev, 2007.
"Local sensitivity and diagnostic tests,"
Econometrics Journal, Royal Economic Society, vol. 10(1), pages 166-192, March.
- Magnus, J.R. & Vasnev, A.L., 2004. "Local Sensitivity and Diagnostic Tests," Discussion Paper 2004-105, Tilburg University, Center for Economic Research.
- Magnus, J.R. & Vasnev, A.L., 2004. "Local Sensitivity and Diagnostic Tests," Other publications TiSEM 10722abe-f848-4bfa-a82d-6, Tilburg University, School of Economics and Management.
- Kevin W. Lu, 2022. "Calibration for multivariate Lévy-driven Ornstein-Uhlenbeck processes with applications to weak subordination," Statistical Inference for Stochastic Processes, Springer, vol. 25(2), pages 365-396, July.
- Giet, Ludovic & Lubrano, Michel, 2008. "A minimum Hellinger distance estimator for stochastic differential equations: An application to statistical inference for continuous time interest rate models," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 2945-2965, February.
- Abadir, Karim M. & Distaso, Walter, 2007.
"Testing joint hypotheses when one of the alternatives is one-sided,"
Journal of Econometrics, Elsevier, vol. 140(2), pages 695-718, October.
- K Abadir & W Distaso, "undated". "Testing joint hypotheses when one of the alternatives is one-sided," Discussion Papers 05/13, Department of Economics, University of York.
- Yoonsuk Lee & B. Wade Brorsen, 2017. "Permanent shocks and forecasting with moving averages," Applied Economics, Taylor & Francis Journals, vol. 49(12), pages 1213-1225, March.
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Keywords
Research Methods/ Statistical Methods;Statistics
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