Search Results - subject:"efficient estimation"

Adaptive Estimation of the Dynamic Linear Model with Fixed Effects

Woutersen, Tiemen; Voia, Marcel - University of Western Ontario, Department of Economics - 2002

This paper shows how the dynamic linear model with fixed regressors can be efficiently estimated. This dynamic model can be used to distinguish spurious correlation from state dependence and we show that the integrated likelihood estimator is adaptive for any asymptotics with T increasing where...

Persistent link: https://www.econbiz.de/10005212385

Efficient Inference in Multivariate Fractionally Integrated Time Series Models

Nielsen, Morten Oerregaard - School of Economics and Management, University of Aarhus

power for samples as small as n = 100. JEL Classification:C32 Keywords:AsymptoticLocalPower;Eﬃcient Estimation; Eﬃcient Test … likelihood procedure for multivariate fractionally integrated time series models is introduced. This allows, e.g., eﬃcient … estimation of the memory parameters of fractional models or eﬃcient testing of the hypothesis that two or more series are …

Persistent link: https://www.econbiz.de/10005787495

Efficient Likelihold Inference in Nonstationary Univariate Models

Nielsen, Morten Oe. - School of Economics and Management, University of Aarhus

Recent literature shows that embedding fractionally integrated time series models with spectral poles at the long-run and/or seasonal frequencies in autoregressive frameworks leads to estimators and test statistics with non-standard limiting distributions that must be simulated on a case-by-case...

Persistent link: https://www.econbiz.de/10005114063