Maximum Likelihood Estimation of a Unit Root Bilinear Model with an Application to Prices

DOI10.2202/1558-3708.1199zbMath1081.91513OpenAlexW3021391283MaRDI QIDQ3368373

Daniela Hristova

Publication date: 27 January 2006

Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL: http://repec.org/sce2004/up.5796.1076525466.pdf

zbMATH Keywords

simulated annealingKalman filterpricesnonlinear processunit root bilinear process

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Microeconomic theory (price theory and economic markets) (91B24)

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