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Bias correction in ARMA models

✍ Scribed by Gauss M. Cordeiro; Ruben Klein


Publisher
Elsevier Science
Year
1994
Tongue
English
Weight
461 KB
Volume
19
Category
Article
ISSN
0167-7152

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Bias correction for a class of multivari
✍ Gauss M. Cordeiro; Klaus L.P. Vasconcellos πŸ“‚ Article πŸ“… 1997 πŸ› Elsevier Science 🌐 English βš– 601 KB

In this paper, we derive general formulae for second-order biases of maximum likelihood estimates which can be applied to a wide class of multivariate nonlinear regression models. The class of models we consider is very rich and includes a number of commonly used models in econometrics and statistic