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A NOTE ON THE MAXIMUM LIKELIHOOD ESTIMATION OF REGRESSION MODELS WITH FIRST ORDER MOVING AVERAGE ERRORS WITH ROOTS ON THE UNIT CIRCLE
Author(s) -
Pesaran M. H.
Publication year - 1983
Publication title -
australian journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.434
H-Index - 41
eISSN - 1467-842X
pISSN - 0004-9581
DOI - 10.1111/j.1467-842x.1983.tb01215.x
Subject(s) - mathematics , statistics , likelihood function , maximum likelihood , regression , regression analysis , estimation , computation , econometrics , algorithm , management , economics
Summary This note gives an alternative derivation of Sargan and Bhargava’ s results concerning the probability of observing on the unit circle a local maximum of the likelihood function of regression models with first order moving average errors. The note also discusses the relevance of these results for the computation of the exact maximum likelihood estimation of regression models with moving average errors.