IDEAS home Printed from https://ideas.repec.org/a/cup/etheor/v9y1993i03p377-401_00.html
   My bibliography  Save this article

Distribution of the ML Estimator of an MA(1) and a local level model

Author

Listed:
  • Shephard, Neil

Abstract

Although considerable attention has recently been paid to the behavior of the maximum likelihood estimator of simple moving average models, little progress has been made in finding a good approximation to its distribution in cases where the process is close to being noninvertible. In this paper a method is produced that gives an excellent approximation to the distribution function, even in the case where the process is strictly noninvertible. Also studied is the related problem of the distribution of the maximum likelihood estimator of the signalto-noise ratio in the local level model.

Suggested Citation

  • Shephard, Neil, 1993. "Distribution of the ML Estimator of an MA(1) and a local level model," Econometric Theory, Cambridge University Press, vol. 9(3), pages 377-401, June.
    • Handle: RePEc:cup:etheor:v:9:y:1993:i:03:p:377-401_00
    as

    Download full text from publisher

    File URL: https://www.cambridge.org/core/product/identifier/S0266466600007726/type/journal_article
    File Function: link to article abstract page
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Solimene, L., 1994. "Total factor productivity in the Italian telecommunications industry," Discussion Paper Series In Economics And Econometrics 9401, Economics Division, School of Social Sciences, University of Southampton.
    2. Ulph, A., 1997. "Harmonisation, minimum standards and optimal international environmental policy under asymmetric information," Discussion Paper Series In Economics And Econometrics 9701, Economics Division, School of Social Sciences, University of Southampton.
    3. James H. Stock & Mark W. Watson, 1996. "Asymptotically Median Unbiased Estimation of Coefficient Variance in a Time Varying Parameter Model," NBER Technical Working Papers 0201, National Bureau of Economic Research, Inc.
    4. Ismail, A.G., 1993. "Profit-sharing in the modelling of Islamic banks," Discussion Paper Series In Economics And Econometrics 9301, Economics Division, School of Social Sciences, University of Southampton.
    5. Vougas, Dimitrios V., 2008. "New exact ML estimation and inference for a Gaussian MA(1) process," Economics Letters, Elsevier, vol. 99(1), pages 172-176, April.
    6. Koop, Gary & Dijk, Herman K. Van, 2000. "Testing for integration using evolving trend and seasonals models: A Bayesian approach," Journal of Econometrics, Elsevier, vol. 97(2), pages 261-291, August.
    7. Blasques, Francisco & van Brummelen, Janneke & Gorgi, Paolo & Koopman, Siem Jan, 2024. "Maximum Likelihood Estimation for Non-Stationary Location Models with Mixture of Normal Distributions," Journal of Econometrics, Elsevier, vol. 238(1).
    8. Dordonnat, Virginie & Koopman, Siem Jan & Ooms, Marius, 2012. "Dynamic factors in periodic time-varying regressions with an application to hourly electricity load modelling," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3134-3152.
    9. Beyer, A., 1995. "The causal link between money and prices in Germany," Discussion Paper Series In Economics And Econometrics 9501, Economics Division, School of Social Sciences, University of Southampton.
    10. Atkinson, A. C. & Koopman, S. J. & Shephard, N., 1997. "Detecting shocks: Outliers and breaks in time series," Journal of Econometrics, Elsevier, vol. 80(2), pages 387-422, October.
    11. Hirano, Keisuke & Wright, Jonathan H., 2022. "Analyzing cross-validation for forecasting with structural instability," Journal of Econometrics, Elsevier, vol. 226(1), pages 139-154.
    12. Eddie Dekel & Michele Piccione, 1997. "On the Equivalence of Simultaneous and Sequential Binary Elections," Discussion Papers 1206, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
    13. Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2004. "Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise," Economics Papers 2004-W28, Economics Group, Nuffield College, University of Oxford.
    14. Blackburn, K. & Mongiardino, A. & Sola, M., 1992. "Was there an "EMS Effect" in the European disinflation?," Discussion Paper Series In Economics And Econometrics 9201, Economics Division, School of Social Sciences, University of Southampton.
    15. Ulph, A. & Ulph, D., 1996. "Global warming, irreversibility and learning," Discussion Paper Series In Economics And Econometrics 9601, Economics Division, School of Social Sciences, University of Southampton.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cup:etheor:v:9:y:1993:i:03:p:377-401_00. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kirk Stebbing (email available below). General contact details of provider: https://www.cambridge.org/ect .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.