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

M.R. Lasker and Maxwell King

No 11/98, Monash Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics

Abstract: The presence of nuisance parameters causes unwanted complications in statistical and econometric inference procedures. A number of modified likelihood and message length functions have been developed for better handling of nuisance parameters but they 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 first order moving average or first order autoregressive error processes.

Keywords: REGRESSION ANALYSIS; LINEAR MODELS (search for similar items in EconPapers)
JEL-codes: C10 C13 (search for similar items in EconPapers)
Pages: 23 pages
Date: 1998
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