Maximum quasilikelihood estimation for a simplified NEAR(1) model

Abstract

As alternatives to maximum likelihood estimation, conditional least squares (CLS) and maximum quasilikelihood estimation, with asymptotic properties, are investigated using a simplified NEAR(1) model. The maximum quasilikelihood estimator seems to perform better than the CLS estimator in simulations.Exponential Autoregressive Conditional least squares Consistency Asymptotic normality SNEAR