{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,2,7]],"date-time":"2026-02-07T21:16:14Z","timestamp":1770498974896,"version":"3.49.0"},"reference-count":0,"publisher":"Cambridge University Press (CUP)","issue":"1","license":[{"start":{"date-parts":[[1998,2,1]],"date-time":"1998-02-01T00:00:00Z","timestamp":886291200000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[1998,2]]},"abstract":"<jats:p>This paper considers adaptive maximum likelihood \nestimation of reduced rank vector error correction models. \nIt is shown that such models can be asymptotically efficiently \nestimated even in the absence of knowledge of the shape \nof the density function of the innovation sequence, provided \nthat this density is symmetric. The construction of the \nestimator, involving the nonparametric kernel estimation \nof the unknown density using the residuals of a consistent \npreliminary estimator, is described, and its asymptotic \ndistribution is derived. Asymptotic efficiency gains over \nthe Gaussian pseudo\u2013maximum likelihood estimator \nare evaluated for elliptically symmetric innovations.<\/jats:p>","DOI":"10.1017\/s0266466698141026","type":"journal-article","created":{"date-parts":[[2002,7,27]],"date-time":"2002-07-27T13:45:46Z","timestamp":1027777546000},"page":"44-69","source":"Crossref","is-referenced-by-count":19,"title":["ADAPTIVE ESTIMATION OF ERROR CORRECTION MODELS"],"prefix":"10.1017","volume":"14","author":[{"given":"Douglas J.","family":"Hodgson","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"56","published-online":{"date-parts":[[1998,2,1]]},"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0266466698141026","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,3,31]],"date-time":"2019-03-31T19:04:04Z","timestamp":1554059044000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0266466698141026\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[1998,2]]},"references-count":0,"journal-issue":{"issue":"1","published-print":{"date-parts":[[1998,2]]}},"alternative-id":["S0266466698141026"],"URL":"https:\/\/doi.org\/10.1017\/s0266466698141026","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[1998,2]]}}}