Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5096894 | Journal of Econometrics | 2010 | 16 Pages |
Abstract
We analyze the conditional likelihood and its derivatives as stochastic processes in the parameters, including d and b, and prove that they converge in distribution. We use these results to prove consistency of the maximum likelihood estimator for d,b in a large compact subset of {1/2
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Søren Johansen, Morten Ãrregaard Nielsen,