Inference for regression models with errors from a non-invertible MA(1) process

DOI10.1002/FOR.1198MaRDI QIDQ3018535zbMATH OpenOpenAlexFDO

Authors Meiching Chen, Richard A. Davis, Li Song

Publication date 27 July 2011

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

Full work available at URL https://doi.org/10.1002/for.1198

zbMATH Keywords

maximum likelihood estimatornon-invertible moving averagesregression model with moving average errorsunit roots

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Recommendations

• ASYMPTOTIC INFERENCE FOR NON-INVERTIBLE MOVING-AVERAGE TIME SERIES
• Unit roots in moving averages beyond first order
• WHY DO NONINVERTIBLE ESTIMATED MOVING AVERAGES OCCUR?*
• scientific article; zbMATH DE number 897212
• Exact maximum likelihood regression estimation with \(\text{ARMA}(n,n-1)\) errors

Cites work

• A NOTE ON THE MAXIMUM LIKELIHOOD ESTIMATION OF REGRESSION MODELS WITH FIRST ORDER MOVING AVERAGE ERRORS WITH ROOTS ON THE UNIT CIRCLE
• scientific article; zbMATH DE number 897212 (Why is no real title available?)
• scientific article; zbMATH DE number 6193726 (Why is no real title available?)
• scientific article; zbMATH DE number 957960 (Why is no real title available?)
• Maximum Likelihood Estimation of Regression Models with First Order Moving Average Errors when the Root Lies on the Unit Circle
• Maximum Likelihood Estimation of Regression Models With Stochastic Trend Components
• WHY DO NONINVERTIBLE ESTIMATED MOVING AVERAGES OCCUR?*

Cited in

(8)

• Gaussian likelihood-based inference for non-invertible MA(1) processes with S\(\alpha \)S noise
• New exact ML estimation and inference for a Gaussian \(MA(1)\) process
• Identification of the differencing operator of a non-stationary time series via testing for zeroes in the spectral density
• Fitting MA(q) models in the closed invertible region
• WHY DO NONINVERTIBLE ESTIMATED MOVING AVERAGES OCCUR?*
• Unit roots in moving averages beyond first order
• ASYMPTOTIC INFERENCE FOR NON-INVERTIBLE MOVING-AVERAGE TIME SERIES
• scientific article; zbMATH DE number 897212 (Why is no real title available?)

This page was built for publication: Inference for regression models with errors from a non-invertible MA(1) process

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3018535)