Problems with the estimation of moving average processes

DOI10.1016/0304-4076(81)90032-4zbMath0474.62083OpenAlexW1969858824MaRDI QIDQ1158913

James Davidson

Publication date: 1981

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

Full work available at URL: https://doi.org/10.1016/0304-4076(81)90032-4

zbMATH Keywords

maximum likelihoodpre-sample residuals

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10) Monte Carlo methods (65C05)

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Cites Work

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• Maximum Likelihood Estimation of Regression Models with First Order Moving Average Errors when the Root Lies on the Unit Circle
• Least squares estimation in the regression model with autoregressive-moving average errors