Maximum Likelihood Estimation of Autoregressive Models with a Near Unit Root and Cauchy Errors
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More about this item
Keywordsautoregressive model; near unit root; Cauchy distribution; maxi- mum likelihood estimator; infi?nite variance;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2016-08-07 (All new papers)
- NEP-CSE-2016-08-07 (Economics of Strategic Management)
- NEP-ECM-2016-08-07 (Econometrics)
- NEP-ETS-2016-08-07 (Econometric Time Series)
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