Maximum Likelihood Estimation for MA(1) Processes with a Root on or near the Unit Circle

Richard A. Davis and William T.M. Dunsmuir

Econometric Theory, 1996, vol. 12, issue 01, pages 1-29

Abstract: This paper considers maximum likelihood estimation for the moving average parameter is equal to or close to 1. A derivation of the limit distribution of the estimate LM. Of practical significance is the fact that the asymptotic distribution for either estimate is surprisingly accurate even for small sample sizes and for values of the moving average parameter considerably far from the unit circle.

Date: 1996

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Persistent link: http://EconPapers.repec.org/RePEc:cup:etheor:v:12:y:1996:i:01:p:1-29_00

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