A note on the exact transformation associated with the first-order moving average process
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Publication:1151707
DOI10.1016/0304-4076(80)90034-2zbMath0458.62079OpenAlexW2039273863MaRDI QIDQ1151707
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)90034-2
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05)
Related Items (7)
Useful matrix transformations for panel data analysis: a survey ⋮ Untransformed first observation problem in regression model with moving average process ⋮ An approximate likelihood function for panel data with a mixed ARMA(p, q) remainder disturbance model ⋮ Exact likelihood function for a regression model with \(MA(1)\) errors ⋮ The efficiency of the sample mean in a linear regression model when errors follow a first-order moving average process ⋮ Improved inference for moving average disturbances in nonlinear regression models ⋮ BLUP in the panel regression model with spatially and serially correlated error components
Cites Work
- A note on the computation of maximum likelihood estimates in linear regression models with autocorrelated errors
- On the inverse of the covariance matrix of a first order moving average
- On the Sufficient Statistics for Stationary Gaussian Random Processes
- Analysis of Distributed Lag Models with Applications to Consumption Function Estimation
- On the Efficiency of Ordinary Least-Squares in Regression Models
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