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Noninvertibility and Pseudo-Maximum Likelihood Estimation of Misspecified ARMA Models

Published online by Cambridge University Press:  11 February 2009

B.M. Pötscher
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Abstract

Recently Tanaka and Satchell [11] investigated the limiting properties of local maximizers of the Gaussian pseudo-likelihood function of a misspecified moving average model of order one in case the spectral density of the data process has a zero at frequency zero. We show that pseudo-maximum likelihood estimators in the narrower sense, that is, global maximizers of the Gaussian pseudo-likelihood function, may exhibit behavior drastically different from that of the local maximizers. Some general results on the limiting behavior of pseudo-maximum likelihood estimators in potentially misspecified ARMA models are also presented.

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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