A computationally attractive method for estimating the linear regression model with autoregressive moving average disturbances

zbMATH Open0831.62063MaRDI QIDQ1901294FDOQ1901294

Authors: Askar H. Choudhury, Simon Power, Robert D. St. Louis 

Publication date: 11 December 1995

Published in: Metron (Search for Journal in Brave)

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zbMATH Keywords

tablesmaximum likelihood estimationordinary least squaressums of squaresgeneralized least squaresARMA (1,1) disturbancesrelative efficiency comparisons

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cited In (2)

• Title not available (Why is that?)
• Oracally Efficient Estimation and Consistent Model Selection for Auto-Regressive Moving Average Time Series with Trend

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