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Comparisons of Estimators and Tests Based on Modified Likelihood and Message Length Functions

Author

Listed:
  • Lasker, M.R.
  • King, M.L.

Abstract

The presence of nuisance parameters causes unwanted complications in statistical and econometric inference procedures. A number of modified likelihood and message length functions have been developed for better handling of nuisance parameters but they are not equally efficient. In this paper, we empirically compare different modified likelihood and message length functions in the context of estimation and testing of parameters from linear regression disturbances that follow either first order moving average or first order autoregressive error processes.

Suggested Citation

  • Lasker, M.R. & King, M.L., 1998. "Comparisons of Estimators and Tests Based on Modified Likelihood and Message Length Functions," Monash Econometrics and Business Statistics Working Papers 11/98, Monash University, Department of Econometrics and Business Statistics.
    • Handle: RePEc:msh:ebswps:1998-11
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    Keywords

    REGRESSION ANALYSIS ; LINEAR MODELS;

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General

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