Search Results - subject:"higher order asymptotics"

Inference and Forecasting for Fractional Autoregressive Integrated Moving Average Models, with an application to US and UK inflation

Ooms, M.; Doornik, J.A. - Erasmus University Rotterdam, Econometric Institute - 1999

We discuss computational aspects of likelihood-based specification, estimation,inference, and forecasting of possibly nonstationary series with long memory. We use the \ARFIMA$(p,d,q)$ model with deterministic regressors and we compare sampling characteristics of approximate and exact...

Persistent link: https://www.econbiz.de/10004972204

Mixed model prediction and small area estimation

Jiang, Jiming; Lahiri, P. - In: TEST: An Official Journal of the Spanish Society of … 15 (2006) 1, pp. 1-96

Persistent link: https://www.econbiz.de/10005759551

The Effects of Rounding on Likelihood Procedures

Pace, L.; Salvan, A.; Ventura, L. - In: Journal of Applied Statistics 31 (2004) 1, pp. 29-48

The aim of this paper is to investigate the robustness properties of likelihood inference with respect to rounding effects. Attention is focused on exponential families and on inference about a scalar parameter of interest, also in the presence of nuisance parameters. A summary value of the...

Persistent link: https://www.econbiz.de/10005492101

Tensors and likelihood expansions in the presence of nuisance parameters

Pace, Luigi; Salvan, Alessandra - In: Annals of the Institute of Statistical Mathematics 56 (2004) 3, pp. 511-528

Persistent link: https://www.econbiz.de/10005169280

Some new formulae for posterior expectations and Bartlett corrections

Sweeting, Trevor; Kharroubi, Samer - In: TEST: An Official Journal of the Spanish Society of … 12 (2003) 2, pp. 497-521

Persistent link: https://www.econbiz.de/10005390553

A note on likelihood asymptotics in normal linear regression

Sartori, N. - In: Annals of the Institute of Statistical Mathematics 55 (2003) 1, pp. 187-195

Persistent link: https://www.econbiz.de/10005395525

Inference and Forecasting for Fractional Autoregressive Integrated Moving Average Models, with an application to US and UK inflation

Ooms, Marius; Doornik, J.A. - Faculteit der Economische Wetenschappen, Erasmus … - 1999

We discuss computational aspects of likelihood-based specification, estimation,inference, and forecasting of possibly nonstationary series with long memory. We use the \\ARFIMA$(p,d,q)$ model with deterministic regressors and we compare sampling characteristics of approximate and exact...

Persistent link: https://www.econbiz.de/10010731796