Gains in efficiency from joint estimation of systems of autoregressive- moving average processes

DOI10.1016/0304-4076(76)90024-5zbMath0339.62062MaRDI QIDQ1231368

Charles R. Nelson

Publication date: 1976

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

Full work available at URL: https://doi.org/10.1016/0304-4076(76)90024-5

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

65C05: Monte Carlo methods

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Cites Work

• The first-order moving average process. Identification, estimation and prediction
• The effect of transformations of variables upon their correlation coefficients
• The Variance of the Product of K Random Variables
• On the Exact Covariance of Products of Random Variables
• An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias
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