We consider a multiple autoregressive model with non-normal error distributions, the latter being more prevalent in practice than the usually assumed normal distribution. Since the maximum likelihood equations have convergence problems (Puthenpura and Sinha, 1986) [11], we work out modified maximum
Full maximum likelihood estimation of second- order autoregressive error models
β Scribed by Charles M. Beach; James G. MacKinnon
- Publisher
- Elsevier Science
- Year
- 1978
- Tongue
- English
- Weight
- 710 KB
- Volume
- 7
- Category
- Article
- ISSN
- 0304-4076
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