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A Remark on Serial Correlation in Maximum Likelihood

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  • David K. Levine

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  • David K. Levine, 1983. "A Remark on Serial Correlation in Maximum Likelihood," Levine's Working Paper Archive 176, David K. Levine.
    • Handle: RePEc:cla:levarc:176
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    1. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-838, May.
    2. Bowden, Roger J, 1973. "The Theory of Parametric Identification," Econometrica, Econometric Society, vol. 41(6), pages 1069-1074, November.
    3. White, Halbert & Domowitz, Ian, 1984. "Nonlinear Regression with Dependent Observations," Econometrica, Econometric Society, vol. 52(1), pages 143-161, January.
    4. Frydman, Roman, 1980. "A Proof of the Consistency of Maximum Likelihood Estimators of Nonlinear Regression Models with Autocorrelated Errors," Econometrica, Econometric Society, vol. 48(4), pages 853-860, May.
    5. Kohn, R., 1978. "Local and global identification and strong consistency in time series models," Journal of Econometrics, Elsevier, vol. 8(3), pages 269-293, December.
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    Cited by:

    1. Andrew V. Carter & Douglas G. Steigerwald, 2012. "Testing for Regime Switching: A Comment," Econometrica, Econometric Society, vol. 80(4), pages 1809-1812, July.
    2. Benedikt M. Potscher & Ingmar R. Prucha, 1994. "On the Formulation of Uniform Laws of Large Numbers: A Truncation Approach," NBER Technical Working Papers 0085, National Bureau of Economic Research, Inc.
    3. Timothy Conley & Silvia Gonçalves & Christian Hansen, 2018. "Inference with Dependent Data in Accounting and Finance Applications," Journal of Accounting Research, Wiley Blackwell, vol. 56(4), pages 1139-1203, September.
    4. Hausman, Jerry A. & Lo, Andrew W. & MacKinlay, A. Craig, 1992. "An ordered probit analysis of transaction stock prices," Journal of Financial Economics, Elsevier, vol. 31(3), pages 319-379, June.
    5. Andrews, Donald W K, 1991. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Econometrica, Econometric Society, vol. 59(3), pages 817-858, May.
    6. Andrews, Donald W K & Monahan, J Christopher, 1992. "An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator," Econometrica, Econometric Society, vol. 60(4), pages 953-966, July.
    7. David K Levine, 2024. "Method of Moments and Maximum Likelihood in the Laboratory," Levine's Working Paper Archive 11694000000000208, David K. Levine.
    8. Demian Pouzo & Zacharias Psaradakis & Martín Sola, 2023. "A Note on Quasi-Maximum-Likelihood Estimation in Hidden Markov Models with Covariate-Dependent Transition Probabilities," Department of Economics Working Papers 2023_01, Universidad Torcuato Di Tella.
    9. David K Levine & Salvatore Modica & Junze Sun, 2023. "Twin Peaks: Expressive Externality in Group Participation," Levine's Working Paper Archive 11694000000000078, David K. Levine.
    10. 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.
    11. Laura Turner & Giovanni Gallipoli, 2011. "Social Security, Endogenous Retirement, and Intrahousehold Cooperation," 2011 Meeting Papers 935, Society for Economic Dynamics.
    12. Man Jin & Shunan Zhao & Subal C. Kumbhakar, 2020. "Information asymmetry and leverage adjustments: a semiparametric varying‐coefficient approach," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 183(2), pages 581-605, February.
    13. Yoonsuk Lee & B. Wade Brorsen, 2017. "Permanent Breaks and Temporary Shocks in a Time Series," Computational Economics, Springer;Society for Computational Economics, vol. 49(2), pages 255-270, February.
    14. Man Jin & Huiting Tian & Subal C. Kumbhakar, 2020. "How to survive and compete: the impact of information asymmetry on productivity," Journal of Productivity Analysis, Springer, vol. 53(1), pages 107-123, February.
    15. Jiaoju Ge & Alfonso Flores-Lagunes & Kilmer, 2015. "An analysis of bargaining power for milk cooperatives and milk processors in Florida," Applied Economics, Taylor & Francis Journals, vol. 47(48), pages 5159-5168, October.
    16. Yongmiao Hong & Jin Lee, 2000. "Wavelet-based Estimation for Heteroskedasticity and Autocorrelation Consistent Variance-Covariance Matrices," Econometric Society World Congress 2000 Contributed Papers 1211, Econometric Society.
    17. Vassilis A. Hajivassiliou, 1986. "Temporal Dependence in Limited Dependent Variable Models: Theoretical and Monte-Carlo Results," Cowles Foundation Discussion Papers 803, Cowles Foundation for Research in Economics, Yale University.
    18. Demian Pouzo & Zacharias Psaradakis & Martín Sola, 2024. "On the Robustness of Mixture Models in the Presence of Hidden Markov Regimes with Covariate-Dependent Transition Probabilities," Department of Economics Working Papers 2024_04, Universidad Torcuato Di Tella.
    19. Helmut Herwartz & Shu Wang, 2024. "Statistical identification in panel structural vector autoregressive models based on independence criteria," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(4), pages 620-639, June.

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