Journal article

On the probability of estimating a deterministic component in the local level model

Abstract:: A local level model has a deterministic level when the signal-to-noise ratio q is zero. In this paper we investigate the properties of the maximum likelihood estimator of q, paying particular attention to the case where its true value is zero. These properties are shown to be crucially dependent on the initial conditions employed.

Publication status:: Published

Peer review status:: Peer reviewed

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APA Style

Harvey, A., & Shephard, N. (1990). On the probability of estimating a deterministic component in the local level model. Journal of Time Series Analysis, 11(4), 339–347.

MLA Style

Harvey, A., and N. Shephard. “On the Probability of Estimating a Deterministic Component in the Local Level Model.” Journal of Time Series Analysis, vol. 11, no. 4, Blackwell Publishing, 1990, pp. 339–47.

Chicago Style

Harvey, A, and N Shephard. 1990. “On the Probability of Estimating a Deterministic Component in the Local Level Model.” Journal of Time Series Analysis 11 (4): 339–47.
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Publisher copy:: 10.1111/j.1467-9892.1990.tb00062.x

Authors

+ Harvey, A More by this author

Institution:: London School of Economics
Role:: Author

+ Shephard, N More by this author

Institution:: University of Oxford
Division:: SSD
Department:: Economics
Research group:: Econometrics
Oxford college:: Nuffield College
Role:: Author

+ Economic and Social Research Council More from this funder

Funding agency for:: Shephard, N

Publisher:: Blackwell Publishing
Journal:: Journal of time series analysis More from this journal
Volume:: 11
Issue:: 4
Pages:: 339-347
Publication date:: 1990-07-01
DOI:: 10.1111/j.1467-9892.1990.tb00062.x
EISSN:: 1467-9892
ISSN:: 0143-9782

Language:: English
Keywords:: structural time series models

initial conditions

boundary estimates

non-invertibility
Subjects:: Econometrics

Economics
UUID:: uuid:b64fc3b5-5f50-41c4-aace-9f8837c6822d
Local pid:: ora:2272
Deposit date:: 2008-08-12

Terms of use

Copyright holder:: NG Shephard and AC Harvey
Copyright date:: 1990
Notes:: N.B. Professor Shephard was based at London School of Economics when this article was first published. The full-text of this article is not currently available in ORA. Citation: Shephard, N. G. & Harvey, A. C. (1990). 'On the probability of estimating a deterministic component in the local level model', Journal of Time Series Analysis, 11(4), 339-347. [Available at http://www3.interscience.wiley.com/journal/118485933/home].

Licence:: Terms and Conditions of Use for Oxford University Research Archive

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