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Maximum Likelihood Estimation of Regression Models with Stochastic Trend Components

 

作者: Neil Shephard,  

 

期刊: Journal of the American Statistical Association  （Taylor Available online 1993）
卷期: Volume 88, issue 422  

页码: 590-595

 

ISSN:0162-1459

 

年代: 1993

 

DOI:10.1080/01621459.1993.10476311

 

出版商: Taylor & Francis Group

 

关键词: Diffuse prior;Fredholm determinant;Marginal likelihood;Noninvertibility;Profile likelihood

 

数据来源: Taylor

 

摘要:

This article is concerned with the estimation of a regression model with a stochastic trend component. It is shown that the probability of estimating the trend to be deterministic is very sensitive to the type of likelihood function used as the basis of inference.

 

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