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Maximum Likelihood Estimation for correctly Specified Generalized Autoregressive Score Models: Feedback Effects, Contraction Conditions and Asymptotic Properties

Blasques, Francisco; Koopman, Siem Jan; Lucas, André - Tinbergen Instituut - 2014

The strong consistency and asymptotic normality of the maximum likelihood estimator in observation-driven models … which the (local) invertibility of the model follows directly from the stable behavior of the true time varying parameter …. We use these results to prove the local strong consistency and asymptotic normality of the maximum likelihood estimator …

Persistent link: https://www.econbiz.de/10011272581

Finite-Sample Stability of the KPSS Test

Jönsson, Kristian - Nationalekonomiska Institutionen, Ekonomihögskolan - 2006

in choosing what test implementation to employ when testing for stationarity in small-sample situations. …

Persistent link: https://www.econbiz.de/10005645097

Stationarity, structural breaks, and economic growth in Mexico: 1895-2008

Noriega, Antonio E.; Rodríguez-Pérez, Cid Alonso - Banco de México - 2011

This paper shows that the evolution of the level of Mexico real and real per capita output between 1895 and 2008 can be adequately described through a trendstationary model, affected by 4 structural breaks, which occurred at dates that seem to coincide with domestic institutional arrangements,...

Persistent link: https://www.econbiz.de/10009318030

Asymptotic normality of the QMLE in the level-effect ARCH model

Dahl, Christian M.; Iglesias, Emma M. - School of Economics and Management, University of Aarhus - 2010

In this paper consistency and asymptotic normality of the quasi maximum like-lihood estimator in the level-effect ARCH …

Persistent link: https://www.econbiz.de/10008509121

Spurious Regression

Ventosa-Santaulària, Daniel - Volkswirtschaftliche Fakultät, … - 2008

driftless unit roots, unit roots with drift, long memory, trend and broken-trend stationarity. Indeed, spurious regressions have …

Persistent link: https://www.econbiz.de/10011109521

Estimation and Identification of Change Points in Panel Models with Nonstationary or Stationary Regressors and Error Term

Baltagi, Badi H.; Kao, Chihwa; Liu, Long - Center for Policy Research, Maxwell School - 2015

. We prove consistency and derive the asymptotic distributions of the Ordinary Least Squares (OLS) and First Difference (FD …

Persistent link: https://www.econbiz.de/10011269093

Parametric inference and forecasting in continuously invertible volatility models

Wintenberger, Olivier; Cai, Sixiang - Volkswirtschaftliche Fakultät, … - 2011

strong consistency and the asymptotic normality of an estimator based on the SRE. From this parametric estimation, we deduce …

Persistent link: https://www.econbiz.de/10009147705

On rank estimation in symmetric matrices: the case of indefinite matrix estimators

Donald, Stephen G.; Fortuna, Natércia; Pipiras, Vladas - Faculdade de Economia, Universidade do Porto - 2005

We focus on the problem of rank estimation in an unknown symmetric matrix based on a symmetric, asymptotically normal estimator of the matrix. The related positive definite limit covariance matrix is assumed to be estimated consistently, and to have either a Kronecker product or an arbitrary...

Persistent link: https://www.econbiz.de/10005059520

Asymptotics for random effects models with serial correlation

Skoglund, Jimmy; Karlsson, Sune - International Conferences on Panel Data - 2002

serial correlation in the form of AR(1) for the idiosyncratic or time-specific error component. The consistency and …

Persistent link: https://www.econbiz.de/10005086458

Parameter estimation in nonlinear AR-GARCH models

Meitz, Mika; Saikkonen, Pentti - School of Economics and Management, University of Aarhus - 2008

consistency and asymptotic normality of the global Gaussian quasi maximum likelihood (QML) estimator are established under … the first results on consistency and asymptotic normality of the QML estimator in nonlinear autoregressive models with …

Persistent link: https://www.econbiz.de/10005440076