A Proof of the Consistency of Maximum Likelihood Estimators of Nonlinear Regression Models with Autocorrelated Errors

DOI10.2307/1912936zbMath0441.62081OpenAlexW2094859928MaRDI QIDQ3883349

Roman Frydman

Publication date: 1980

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1912936

zbMATH Keywords

autocorrelated errorsnonlinear regression modelsproof of consistency of maximum likelihood estimators

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10)

Related Items (6)

INVESTIGATING ESTIMATOR CONSISTENCY OF NONLINEAR GROWTH CURVE PARAMETERS ⋮ Consistent maximum-likelihood estimation with dependent observations. The general (nonnormal) case and the normal case ⋮ The consistency of a nonlinear least squares estimator from diffusion processes ⋮ A general drift estimation procedure for stochastic differential equations with additive fractional noise ⋮ A least square-type procedure for parameter estimation in stochastic differential equations with additive fractional noise ⋮ A remark on serial correlation in maximum likelihood

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