An approximate likelihood function for panel data with a mixed ARMA(p, q) remainder disturbance model

DOI10.1111/j.1467-9892.2006.00495.xzbMath1150.62041OpenAlexW2141950179MaRDI QIDQ3505311

Wen-Den Chen

Publication date: 18 June 2008

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2006.00495.x

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (1)

Detecting and identifying interventions with the Whittle spectral approach in a long memory panel data model

Cites Work

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• A note on the exact transformation associated with the first-order moving average process
• Testing AR(1) against MA(1) disturbances in an error component model
• Dynamic Aspects of Earning Mobility
• Average Information REML: An Efficient Algorithm for Variance Parameter Estimation in Linear Mixed Models

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