Davis, Richard A.; Dunsmuir, William T.M. - In: Econometric Theory 12 (1996) 01, pp. 1-29
This paper considers maximum likelihood estimation for the moving average parameter θ in an MA(1) model when θ is equal to or close to 1. A derivation of the limit distribution of the estimate θ<sub>LM</sub>, defined as the largest of the local maximizers of the likelihood, is given here for the first...
