On the probability of estimating a deterministic component in the local level model

A local level model has a deterministic level when the signal-to-noise ratio q is zero. In this paper we investigate the properties of the maximum likelihood estimator of q, paying particular attention to the case where its true value is zero. These properties are shown to be crucially dependent on the initial conditions employed.

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Year of publication:	1990
Authors:	Harvey, Andrew C. ; Shephard, Neil
Subject:	Econometrics \| boundary estimates \| non-invertibility \| initial conditions \| structural time series models

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Type of publication:	Article
Language:	English
Other identifiers:	10.1111/j.1467-9892.1990.tb00062.x [DOI]
Source:	BASE

Persistent link: https://www.econbiz.de/10009441421