Unformatted text preview: b. Derive the asymptotic covariance matrix for ( 29 $ $ , $ ′= θ φσ 2 . Hint: Since the difference between the exact and conditional loglikelihood functions is negligible in large samples, use the conditional loglikelihood function. c. Based on (a) above, derive the equation that you would solve to obtain an estimate of φ in each case. How would you estimate φ based on YuleWalker equations? What is the relationship between the three methods? Hint: You may wish to concentrate out σ 2 to form the concentrated loglikelihood function....
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 Fall '08
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 Economics, Econometrics, Regression Analysis, Variance, Maximum likelihood, Estimation theory

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