Distribution of the ML Estimator of an MA(1) and a local level model

Neil Shephard ()

Econometric Theory, 1993, vol. 9, issue 3, 377-401

Abstract: Although considerable attention has recently been paid to the behavior of the maximum likelihood estimator of simple moving average models, little progress has been made in finding a good approximation to its distribution in cases where the process is close to being noninvertible. In this paper a method is produced that gives an excellent approximation to the distribution function, even in the case where the process is strictly noninvertible. Also studied is the related problem of the distribution of the maximum likelihood estimator of the signalto-noise ratio in the local level model.

Date: 1993
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