Fahrmeir, L. - In: Stochastic Processes and their Applications 28 (1988) 2, pp. 267-273
This note shows, for ergodic and nonergodic models, how previous results on the limit distributions of the likehood ratio, score and Wald statistics can be extended under full matrix normalization. Compared to n1/2-or diagonal norming this allows, just as in asymptotic estimation theory, for...