Consistent maximum-likelihood estimation with dependent observations. The general (nonnormal) case and the normal case

DOI10.1016/0304-4076(86)90040-0zbMath0659.62127OpenAlexW1539039382MaRDI QIDQ1112529

Risto D. H. Heijmans, Jan R. Magnus

Publication date: 1986

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

Full work available at URL: https://doi.org/10.1016/0304-4076(86)90040-0

zbMATH Keywords

existenceweak consistencynonlinear regressionmaximum likelihood estimatorsdependent observationsnormal observationsfirst-order autocorrelationWald's approach

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Linear regression; mixed models (62J05)

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