Marginal-likelihood score-based tests of regression disturbances in the presence of nuisance parameters

DOI10.1016/S0304-4076(97)00052-3zbMath1130.62403MaRDI QIDQ1265790

Shahidur Rahman, Maxwell L. King

Publication date: 27 September 1998

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

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear inference, regression (62J99)

Related Items

Marginal likelihood and unit roots, On solving bias‐corrected non‐linear estimation equations with an application to the dynamic linear model, Adjusted QMLE for the spatial autoregressive parameter, Maximal invariant likelihood based testing of semi-linear models, BIAS REDUCTION AND LIKELIHOOD-BASED ALMOST EXACTLY SIZED HYPOTHESIS TESTING IN PREDICTIVE REGRESSIONS USING THE RESTRICTED LIKELIHOOD, POWER PROPERTIES OF INVARIANT TESTS FOR SPATIAL AUTOCORRELATION IN LINEAR REGRESSION, Parameter estimation in semi-linear models using a maximal invariant likelihood function, SIMPLE LM TESTS FOR THE UNBALANCED NESTED ERROR COMPONENT REGRESSION MODEL, Empirically relevant critical values for hypothesis tests: A bootstrap approach, Estimation and testing of regression disturbances based on modified likelihood functions, The size and power of the bias-corrected bootstrap test for regression models with autocorrelated errors

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