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Noninvertibility and Pseudo-MaximumLikelihood Estimation of Misspecified ARMAModels

Published online by Cambridge University Press:  11 February 2009

B.M. Pötscher
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Abstract

Recently Tanaka and Satchell [11] investigated thelimiting properties of local maximizers of theGaussian pseudo-likelihood function of amisspecified moving average model of order one incase the spectral density of the data process has azero at frequency zero. We show that pseudo-maximumlikelihood estimators in the narrower sense, thatis, global maximizers of the Gaussianpseudo-likelihood function, may exhibit behaviordrastically different from that of the localmaximizers. Some general results on the limitingbehavior of pseudo-maximum likelihood estimators inpotentially misspecified ARMA models are alsopresented.

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Type
Research Article
Information
Econometric Theory , Volume 7 , Issue 4 , December 1991 , pp. 435 - 449
Copyright
Copyright © Cambridge University Press 1991

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References

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