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Convergence to Normality of the Asymptotic Quasi-Score Function on a Linear Model

โœ Scribed by Sifa Mvoi; Yan-Xia Lin


Publisher
John Wiley and Sons
Year
2000
Tongue
English
Weight
180 KB
Volume
42
Category
Article
ISSN
0323-3847

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โœฆ Synopsis


The asymptotic quasi-likelihood method is considered for the model y t f t q M t ; t 0; 1; . . . ; T where f t q is a linear predictable process of the parameter of interest q, M t is a martingale difference, and the nature of EM 2 t j p tร€1 is unknown. This paper is concerned with the limiting distribution of the asymptotic quasi-score function of such a model. Confidence intervals and hypothesis testing of q is derived from the limiting distribution. Comparison is made between the estimates obtained through this method and those obtained through the least squares method.


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