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Exact likelihood function for a regression model with MA(1) errors

✍ Scribed by Pedro L. Valls Pereira


Book ID
116100373
Publisher
Elsevier Science
Year
1987
Tongue
English
Weight
203 KB
Volume
24
Category
Article
ISSN
0165-1765

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## Abstract This paper considers maximum likelihood estimation in a regression model when the errors follow a first‐order moving average model which is non‐invertible or nearly non‐invertible. The latter corresponds to a moving average parameter ΞΈ that is equal to or close to 1. The joint limiting