Estimation and testing of regression disturbances based on modified likelihood functions

DOI10.1016/S0378-3758(98)00091-3zbMath0931.62053MaRDI QIDQ1299432

Maxwell L. King, Mizan R. Laskar

Publication date: 23 August 1999

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

zbMATH Keywords

maximum likelihood estimatesmarginal likelihoodprofile likelihoodparameter orthogonalityMA(1)AR(1) errorslikelihood-based tests

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Linear regression; mixed models (62J05) Parametric hypothesis testing (62F03) Point estimation (62F10)

Related Items

On solving bias‐corrected non‐linear estimation equations with an application to the dynamic linear model, Model Selection When a Key Parameter is Constrained to be in an Interval, Maximal invariant likelihood based testing of semi-linear models, Computational aspects of maximum likelihood estimation of autoregressive fractionally integrated moving average models, Smoothing spline based tests for nonlinearity in a partially linear model, Parameter estimation in semi-linear models using a maximal invariant likelihood function, A maximum likelihood method for the incidental parameter problem, The size and power of the bias-corrected bootstrap test for regression models with autocorrelated errors

Cites Work

• Robust tests for spherical symmetry and their application to least squares regression
• Marginal-likelihood score-based tests of regression disturbances in the presence of nuisance parameters
• On a formula for the distribution of the maximum likelihood estimator
• Alternative Tests of the Error Components Model
• Bayesian inference for variance components using only error contrasts
• Recovery of inter-block information when block sizes are unequal
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