Noninvertibility and Pseudo-Maximum Likelihood Estimation of Misspecified ARMA Models
Recently Tanaka and Satchell [11] investigated the limiting properties of local maximizers of the Gaussian pseudo-likelihood function of a misspecified moving average model of order one in case the spectral density of the data process has a zero at frequency zero. We show that pseudo-maximum likelihood estimators in the narrower sense, that is, global maximizers of the Gaussian pseudo-likelihood function, may exhibit behavior drastically different from that of the local maximizers. Some general results on the limiting behavior of pseudo-maximum likelihood estimators in potentially misspecified ARMA models are also presented.
Year of publication: |
1991
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Authors: | Pötscher, B.M. |
Published in: |
Econometric Theory. - Cambridge University Press. - Vol. 7.1991, 04, p. 435-449
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Publisher: |
Cambridge University Press |
Description of contents: | Abstract [journals.cambridge.org] |
Saved in:
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