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Using a likelihood perspective to sharpen econometric discourse: Three examples
2000
Journal of Econometrics
This paper discusses a number of areas of inference where dissatisfaction by applied workers with the prescriptions of econometric high theory is strong and where a likelihood approach diverges strongly from the mainstream approach in its practical prescriptions. Two of the applied areas are related and have in common that they involve nonstationarity: macroeconomic time series modeling, and analysis of panel data in the presence of potential nonstationarity. The third area is nonparametric
doi:10.1016/s0304-4076(99)00046-9
fatcat:42rjcv6i3vgutarknpus6ethrq