Showing 1 - 10 of 151
We study the optimal choice of quasi-likelihoods for nearly integrated, possibly non-normal, autoregressive models. It turns out that the two most natural candidate criteria, minimum Mean Squared Error (MSE) and maximum power against the unit root null, give rise to different optimal...
Persistent link: https://www.econbiz.de/10013112352
We study the optimal choice of quasi-likelihoods for nearly integrated, possibly non-normal, autoregressive models. It turns out that the two most natural candidate criteria, minimum Mean Squared Error (MSE) and maximumpower against the unit root null, give rise to different...
Persistent link: https://www.econbiz.de/10011303305
Persistent link: https://www.econbiz.de/10000939904
Persistent link: https://www.econbiz.de/10001178227
Persistent link: https://www.econbiz.de/10013543279
Persistent link: https://www.econbiz.de/10001397921
Persistent link: https://www.econbiz.de/10001462894
Persistent link: https://www.econbiz.de/10000939685
Persistent link: https://www.econbiz.de/10001256083
Persistent link: https://www.econbiz.de/10001210204