Finite sample properties of estimators for autoregressive moving average models

DOI10.1016/0304-4076(80)90013-5MaRDI QIDQ1138872zbMATH OpenOpenAlexFDO

Authors Craig F. Ansley, Paul Newbold

Publication date 1980

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4076(80)90013-5

zbMATH Keywords

maximum likelihoodbiasconditional least squaresmean squared errorcomparisonpredictive abilityexact least squaresfinite sample properties of estimatorsfitting of autoregressive-moving average time series models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

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Cites work

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• Computation of the exact likelihood function of an arima process
• First Order Autoregression: Inference, Estimation, and Prediction
• Maximum Likelihood Estimation of Difference Equations with Moving Average Errors: A Simulation Study
• Symmetric decomposition of a positive definite matrix
• The exact likelihood function for a mixed autoregressive-moving average process
• The first-order moving average process. Identification, estimation and prediction

Cited in

(40)

• Finite-sample performance of alternative estimators for autoregressive models in the presence of outliers
• Bootstrap-based inferential improvements in beta autoregressive moving average model
• Least-squares, Yule-Walker, and overdetermined Yule—Walker estimation of AR parameters: a Monte Carlo analysis of finite-sample properties
• scientific article; zbMATH DE number 4124846 (Why is no real title available?)
• Generalized Autoregressive (GAR) Model: A Comparison of Maximum Likelihood and Whittle Estimation Procedures Using a Simulation Study
• Asymptotic properties of quasi-maximum likelihood estimators for ARMA models with time-dependent coefficients
• On strong consistency and asymptotic normality of one-step Gauss-Newton estimators in ARMA time series models
• scientific article; zbMATH DE number 813741 (Why is no real title available?)
• The zero-information-limit condition and spurious inference in weakly identified models
• Model identification of ARIMA family using genetic algorithms
• The exact quasi-likelihood of time-dependent ARMA models
• New exact ML estimation and inference for a Gaussian \(MA(1)\) process
• BIC-based unit-root detection: simulation-based evidence
• Simulation Study on Variance of Forecast Error for Vector Arima Models
• Adjusted estimates and Wald statistics for the AR(1) model with constant
• Cointegration Detection Using Dynamic Factor Models
• Fully Bayesian analysis of ARMA time series models
• Time series clustering and classification by the autoregressive metric
• Testing causality using efficiently parametrized vector ARMA models
• Maximum likelihood estimators for ARMA and ARFIMA models: a Monte Carlo study.
• Fast estimation methods for time-series models in state–space form
• Asymptotic distribution of residual autocorrelations from estimation of ARMA processes by Gram-Schmidt orthogonalization
• scientific article; zbMATH DE number 4074276 (Why is no real title available?)
• The Effect of the Estimation on Goodness‐of‐Fit Tests in Time Series Models
• Computing and using residuals in time series models
• The exact multi-period mean-square forecast error for the first-order autoregressive model
• PROFILE SUMMARIES FOR ARIMA TIME SERIES MODEL PARAMETERS
• Moments of OLS estimators in an autoregressive moving average model with explanatory variables
• Computation of the theoretical autocovariance function for a vector arma process
• Mean estimation bias in least squares estimation of autoregressive processes
• Numerical computation of asymptotic covariance matrix of the gaussian estimators for vector arrla models
• CONFIDENCE REGIONS FOR PARAMETERS IN THE AR(1) MODEL
• Improved maximum likelihood estimation of ARMA models
• Computation of the exact information matrix of Gaussian dynamic regression time series models
• ASYMPTOTIC PROPERTIES OF SOME PRELIMINARY ESTIMATORS FOR AUTOREGRESSIVE MOVING AVERAGE TIME SERIES MODELS
• scientific article; zbMATH DE number 4011739 (Why is no real title available?)
• Business cycle analysis and VARMA models
• Bootstrapping a time series model: some empirical results
• Exact maximum likelihood estimation of structured or unit root multivariate time series models
• Robustness of Inference for One-sample Problem with Correlated Observations

Describes a project that uses

Uses Software

• LLRANDOM

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