Robust Estimation of ARMA Models with Near Root Cancellation
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References listed on IDEAS
- Chib, Siddhartha & Greenberg, Edward, 1994. "Bayes inference in regression models with ARMA (p, q) errors," Journal of Econometrics, Elsevier, vol. 64(1-2), pages 183-206.
- Nelson, Charles R. & Startz, Richard, 2007.
"The zero-information-limit condition and spurious inference in weakly identified models,"
Journal of Econometrics,
Elsevier, vol. 138(1), pages 47-62, May.
- Charles Nelson & Richard Startz, 2004. "The Zero-Information-Limit Condition and Spurious Inference in Weakly Identified Models," Working Papers UWEC-2004-03-FC, University of Washington, Department of Economics.
- Charles Nelson & Richard Startz, 2007. "The Zero-Information-Limit-Condition and Spurious Inference in Weakly Identified Models," Working Papers UWEC-2006-07-P, University of Washington, Department of Economics.
More about this item
KeywordsSocial and Behavioral Sciences; ARMA; bayesian; weak identification;
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