Maximum Likelihood Estimation for MA(1) Processes with a Root on or near the Unit Circle

This paper considers maximum likelihood estimation for the moving average parameter θ in an MA(1) model when θ is equal to or close to 1. A derivation of the limit distribution of the estimate θLM, defined as the largest of the local maximizers of the likelihood, is given here for the first time. Th...

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Veröffentlicht in:	Econometric theory 1996-03, Vol.12 (1), p.1-29
Hauptverfasser:	Davis, Richard A., Dunsmuir, William T.M.
Format:	Artikel
Sprache:	eng
Schlagworte:	Approximation Asymptotic theory Econometrics Estimators Local maximum Mathematical methods Maximum likelihood estimation Maximum likelihood estimators Perceptron convergence procedure Probability Random variables Sample size Time series
Online-Zugang:	Volltext
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