Exact likelihood function for a regression model with MA(1) errors

DOI10.1016/0165-1765(87)90241-2MaRDI QIDQ899982zbMATH OpenOpenAlexWikidataFDO

Authors Pedro L. Valls Pereira

Publication date 1 January 2016

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0165-1765(87)90241-2

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• scientific article; zbMATH DE number 3727458 (Why is no real title available?)
• A note on the exact transformation associated with the first-order moving average process
• The exact initial covariance matrix of the state vector of a general \(MA(q)\) process

Cited in

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• Exact maximum likelihood regression estimation with \(\text{ARMA}(n,n-1)\) errors

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