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Finite Lag Estimation of Non-Markovian Processes

Journal of Financial Econometrics
Abstract We consider the quasi-maximum likelihood estimator (qmle) obtained by replacing each transition density in the correct likelihood for a non-Markovian, stationary process by a transition density with a fixed number of lags. This estimator is of interest because it is asymptotically equivalent to the efficient method of moments ...
A Ronald Gallant, Halbert L White
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