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Keyword: pseudo maximum likelihood estimation;
2 results found.
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Miguel A. Delgado and Peter M Robinson
We develop non-nested tests in a general spatial, spatio-temporal or panel data context. The spatial aspect can be interpreted quite generally, in either a geographical sense, or employing notions of economic distance, o...Read more...
25 November 2013
Peter M Robinson and Paolo Zaffaroni
Strong consistency and asymptotic normality of the Gaussian pseudo-maximum likelihood estimate of the parameters in a wide class of ARCH(8) processes are established. We require the ARCH weights to decay at least hyperbo...Read more...