This article considers inference about the variance of coefficients in time-varying parameter models with stationary regressors. The Gaussian maximum likelihood estimator (MLE) has a large point mass ...
The Canadian Journal of Statistics / La Revue Canadienne de Statistique, Vol. 18, No. 2 (Jun., 1990), pp. 149-153 (5 pages) We show that the jackknife technique fails badly when applied to the problem ...
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