A remark on serial correlation in maximum likelihood

DOI10.1016/0304-4076(83)90062-3zbMath0517.62082OpenAlexW1986435218MaRDI QIDQ1053401

J. Blot

Publication date: 1983

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://www.econ.ucla.edu/workingpapers/wp215.pdf

zbMATH Keywords

consistencyasymptotic normalitymaximum likelihood estimationserial correlation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Non-Markovian processes: estimation (62M09) Point estimation (62F10)

Related Items (3)

A functional version of the Birkhoff ergodic theorem for a normal integrand: A variational approach ⋮ Basic structure of the asymptotic theory in dynamic nonlineaerco nometric models, part i: consistency and approximation concepts ⋮ On the formulation of uniform laws of large numbers: a truncation approach

Cites Work

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• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Local and global identification and strong consistency in time series models
• A maximal inequality and dependent strong laws
• A CLASS OF STATIONARY PROCESSES AND A CENTRAL LIMIT THEOREM
• A Proof of the Consistency of Maximum Likelihood Estimators of Nonlinear Regression Models with Autocorrelated Errors
• Asymptotic Properties of Non-Linear Least Squares Estimators
• Asymptotic Properties of Maximum Likelihood Estimators for the Independent Not Identically Distributed Case
• Note on the Consistency of the Maximum Likelihood Estimate

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