Maximum quasilikelihood estimation for a simplified NEAR(1) model

Subashan Perera

Statistics & Probability Letters, 2002, vol. 58, issue 2, 147-155

Abstract: As alternatives to maximum likelihood estimation, conditional least squares (CLS) and maximum quasilikelihood estimation, with asymptotic properties, are investigated using a simplified NEAR(1) model. The maximum quasilikelihood estimator seems to perform better than the CLS estimator in simulations.

Keywords: Exponential; Autoregressive; Conditional; least; squares; Consistency; Asymptotic; normality; SNEAR (search for similar items in EconPapers)
Date: 2002
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