Search Results - subject:"maximum likelihood estimator"

Heteroskedasticity of unknown form in spatial autoregressive models with a moving average disturbance term

Doğan, Osman - In: Econometrics 3 (2015) 1, pp. 101-127

In this study, I investigate the necessary condition for the consistency of the maximum likelihood estimator (MLE) of …

Persistent link: https://www.econbiz.de/10011755273

Estimating dynamic discrete-choice games of incomplete information

Egesdal, Michael; Lai, Zhenyu; Su, Che-Lin - In: Quantitative Economics 6 (2015) 3, pp. 567-597

optimization approach for computing the maximum-likelihood estimator, the two-step pseudo-maximum-likelihood estimator, and the …

Persistent link: https://www.econbiz.de/10011599685

Qml inference for volatility models with covariates

Francq, Christian; Thieu, Le Quyen - Volkswirtschaftliche Fakultät, … - 2015

The asymptotic distribution of the Gaussian quasi-maximum likelihood estimator (QMLE) is obtained for a wide class of …

Persistent link: https://www.econbiz.de/10011210479

Heteroskedasticity of Unknown Form in Spatial Autoregressive Models with a Moving Average Disturbance Term

Doğan, Osman - In: Econometrics 3 (2015) 1, pp. 101-127

In this study, I investigate the necessary condition for the consistency of the maximum likelihood estimator (MLE) of …

Persistent link: https://www.econbiz.de/10011186339

Identifying the time of a step change in AR(1) auto-correlated simple linear profiles

Khedmati, Majid; Niaki, Seyed Taghi Akhavan - In: Journal of Industrial Engineering International 11 (2015), pp. 473-484

transformation method is first employed to eliminate the effect of auto-correlation. Then, a maximum likelihood estimator (MLE) of a …

Persistent link: https://www.econbiz.de/10011640866

A note on "continuous invertibility and stable QML estimation of the EGARCH(1,1) model"

Blasques, Francisco; Gorgi, Paolo; Koopman, Siem Jan; … - 2015

We revisit Wintenberger (2013) on the continuous invertibility of the EGARCH(1,1) model. We note that the definition of continuous invertibility adopted in Wintenberger (2013) may not always be sufficient to deliver strong consistency of the QMLE. We also take the opportunity to provide other...

Persistent link: https://www.econbiz.de/10011401308