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Unformatted text preview: b. Derive the asymptotic covariance matrix for ( 29 $ $ , $ ′= θ φσ 2 . Hint: Since the difference between the exact and conditional log-likelihood functions is negligible in large samples, use the conditional log-likelihood 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 Yule-Walker equations? What is the relationship between the three methods? Hint: You may wish to concentrate out σ 2 to form the concentrated log-likelihood function....
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This note was uploaded on 12/26/2011 for the course ECON 245b taught by Professor Staff during the Fall '08 term at UCSB.
- Fall '08