Comparisons of Estimators and Tests Based on Modified Likelihood And Message Length Functions

M.R. Laskar and Maxwell King

No 6/98, Monash Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics

Abstract: The presence of nuisance parameters causes unexpected complications in econometric inference problems. A number of modified likelihood and message length functions have been developed for better handling of nuisance parameters but all of them are not equally efficient. In this paper, we empirically compare different modified likelihood and message length functions in the context of estimation and testing of parameters from linear regression disturbances that follow either a first-order moving average of firts-order autoregressive error processes.

Keywords: MAXIMUM LIKELIHOOD; ESTIMATOR; TESTS (search for similar items in EconPapers)
JEL-codes: C13 C52 (search for similar items in EconPapers)
Pages: 34 pages
Date: 1998
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