Finite sample properties of estimators for autoregressive moving average models

DOI10.1016/0304-4076(80)90013-5zbMath0432.62063OpenAlexW1999323351MaRDI QIDQ1138872

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

comparisonmean squared errormaximum likelihoodbiaspredictive abilityconditional least squaresexact 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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Uses Software

• LLRANDOM

Cites Work

• Unnamed Item
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