Maximum likelihood estimation of autoregressive models with a near unit root and Cauchy errors

Jungjun Choi; In Choi

doi:10.1007/s10463-018-0671-z

Maximum likelihood estimation of autoregressive models with a near unit root and Cauchy errors

Annals of the Institute of Statistical Mathematics ◽

10.1007/s10463-018-0671-z ◽

2018 ◽

Vol 71 (5) ◽

pp. 1121-1142

Author(s):

Jungjun Choi ◽

In Choi

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Unit Root ◽

Likelihood Estimation ◽

Autoregressive Models ◽

Near Unit Root

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Maximum Likelihood Estimation and Unit Root Test for First Order Random Coefficient AutoRegressive Models

Journal of Statistical Theory and Practice ◽

10.1080/15598608.2010.10411985 ◽

2010 ◽

Vol 4 (2) ◽

pp. 261-278 ◽

Cited By ~ 1

Author(s):

Dazhe Wang ◽

Sujit K. Ghosh ◽

Sastry G. Pantula

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Unit Root ◽

Unit Root Test ◽

Likelihood Estimation ◽

Random Coefficient ◽

Autoregressive Models ◽

First Order ◽

Random Coefficient Autoregressive

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Pseudo maximum likelihood estimation of spatial autoregressive models with increasing dimension

Journal of Econometrics ◽

10.1016/j.jeconom.2017.05.019 ◽

2018 ◽

Vol 202 (1) ◽

pp. 92-107 ◽

Cited By ~ 7

Author(s):

Abhimanyu Gupta ◽

Peter M. Robinson

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Likelihood Estimation ◽

Autoregressive Models ◽

Pseudo Maximum Likelihood Estimation ◽

Spatial Autoregressive ◽

Spatial Autoregressive Models ◽

Pseudo Maximum Likelihood

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Profile quasi-maximum likelihood estimation of partially linear spatial autoregressive models

Journal of Econometrics ◽

10.1016/j.jeconom.2009.10.033 ◽

2010 ◽

Vol 157 (1) ◽

pp. 18-33 ◽

Cited By ~ 51

Author(s):

Liangjun Su ◽

Sainan Jin

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Likelihood Estimation ◽

Autoregressive Models ◽

Partially Linear ◽

Spatial Autoregressive ◽

Quasi Maximum Likelihood ◽

Spatial Autoregressive Models

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Randomized algorithms of maximum likelihood estimation with spatial autoregressive models for large-scale networks

Statistics and Computing ◽

10.1007/s11222-019-09862-4 ◽

2019 ◽

Vol 29 (5) ◽

pp. 1165-1179

Author(s):

Miaoqi Li ◽

Emily L. Kang

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Randomized Algorithms ◽

Large Scale ◽

Likelihood Estimation ◽

Autoregressive Models ◽

Spatial Autoregressive ◽

Spatial Autoregressive Models ◽

Large Scale Networks

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Stochastic unit root processes: Maximum likelihood estimation, and new Lagrange multiplier and likelihood ratio tests

Economic Modelling ◽

10.1016/j.econmod.2015.10.011 ◽

2016 ◽

Vol 52 ◽

pp. 725-732 ◽

Cited By ~ 2

Author(s):

Gawon Yoon

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Likelihood Ratio ◽

Lagrange Multiplier ◽

Unit Root ◽

Likelihood Estimation ◽

Likelihood Ratio Tests

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Joint maximum likelihood estimation of unit root testing equations and GARCH processes: Some finite-sample issues

Mathematics and Computers in Simulation ◽

10.1016/j.matcom.2007.02.009 ◽

2008 ◽

Vol 77 (1) ◽

pp. 109-116 ◽

Cited By ~ 10

Author(s):

Steven Cook

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Unit Root ◽

Likelihood Estimation ◽

Finite Sample ◽

Unit Root Testing ◽

Joint Maximum Likelihood Estimation ◽

Garch Processes

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On the three‐step non‐Gaussian quasi‐maximum likelihood estimation of heavy‐tailed double autoregressive models

Journal of Time Series Analysis ◽

10.1111/jtsa.12525 ◽

2020 ◽

Vol 41 (6) ◽

pp. 883-891

Author(s):

Huan Gong ◽

Dong Li

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Likelihood Estimation ◽

Autoregressive Models ◽

Heavy Tailed ◽

Quasi Maximum Likelihood ◽

Non Gaussian

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Maximum likelihood estimation for generalized conditionally autoregressive models of spatial data

Journal of the Korean Statistical Society ◽

10.1016/j.jkss.2013.10.005 ◽

2014 ◽

Vol 43 (3) ◽

pp. 339-353 ◽

Cited By ~ 1

Author(s):

M. Kyung ◽

S.K. Ghosh

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Spatial Data ◽

Likelihood Estimation ◽

Autoregressive Models ◽

Conditionally Autoregressive

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UNIT ROOT TESTS BASED ON ADAPTIVE MAXIMUM LIKELIHOOD ESTIMATION

Econometric Theory ◽

10.1017/s0266466699151016 ◽

1999 ◽

Vol 15 (01) ◽

Cited By ~ 15

Author(s):

Dong Wan Shin ◽

Beong Soo So

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Unit Root ◽

Likelihood Estimation ◽

Unit Root Tests

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Fast maximum likelihood estimation of very large spatial autoregressive models: a characteristic polynomial approach

Computational Statistics & Data Analysis ◽

10.1016/s0167-9473(00)00018-9 ◽

2001 ◽

Vol 35 (3) ◽

pp. 301-319 ◽

Cited By ~ 112

Author(s):

Oleg Smirnov ◽

Luc Anselin

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Characteristic Polynomial ◽

Likelihood Estimation ◽

Autoregressive Models ◽

Spatial Autoregressive ◽

Spatial Autoregressive Models

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