MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION - WITH APPLICATIONS TO THE DEMAND FOR MONEY

Local Maximum Likelihood Estimation and Inference

Estimation Of The Demand For Money In Iran

Estimating And Forecasting Demand For Broad Money In Iran Through Cointegration Analysis And Stochastic Simulation

Maximum Likelihood Estimation and Uniform Inference with Sporadic Identication Failure

This paper analyzes the properties of a class of estimators, tests, and con…dence sets (CS’s) when the parameters are not identi…ed in parts of the parameter space. Speci…cally, we consider estimator criterion functions that are sample averages and are smooth functions of a parameter : This includes log likelihood, quasi-log likelihood, and least squares criterion functions. We determine the as...

Maximum likelihood estimation and uniform inference with sporadic identification failure

This paper analyzes the properties of a class of estimators, tests, and con…dence sets (CS’s) when the parameters are not identi…ed in parts of the parameter space. Speci…cally, we consider estimator criterion functions that are sample averages and are smooth functions of a parameter : This includes log likelihood, quasi-log likelihood, and least squares criterion functions. We determine the as...