LIKELIHOOD INFERENCE IN AN AUTOREGRESSION WITH FIXED EFFECTS
نویسندگان
چکیده
منابع مشابه
Small sample inference for fixed effects from restricted maximum likelihood.
Restricted maximum likelihood (REML) is now well established as a method for estimating the parameters of the general Gaussian linear model with a structured covariance matrix, in particular for mixed linear models. Conventionally, estimates of precision and inference for fixed effects are based on their asymptotic distribution, which is known to be inadequate for some small-sample problems. In...
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ژورنال
عنوان ژورنال: Econometric Theory
سال: 2015
ISSN: 0266-4666,1469-4360
DOI: 10.1017/s0266466615000146