Inference for regression models with errors from a non-invertible MA(1) process
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Publication:3018535
DOI10.1002/for.1198zbMath1217.91141MaRDI QIDQ3018535
Li Song, Meiching Chen, Richard A. Davis
Publication date: 27 July 2011
Published in: Journal of Forecasting (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/for.1198
maximum likelihood estimator; unit roots; non-invertible moving averages; regression model with moving average errors
91B82: Statistical methods; economic indices and measures
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Unit roots in moving averages beyond first order, Identification of the differencing operator of a non-stationary time series via testing for zeroes in the spectral density
Cites Work
- A NOTE ON THE MAXIMUM LIKELIHOOD ESTIMATION OF REGRESSION MODELS WITH FIRST ORDER MOVING AVERAGE ERRORS WITH ROOTS ON THE UNIT CIRCLE
- Maximum Likelihood Estimation of Regression Models with First Order Moving Average Errors when the Root Lies on the Unit Circle
- WHY DO NONINVERTIBLE ESTIMATED MOVING AVERAGES OCCUR?*
- Maximum Likelihood Estimation of Regression Models With Stochastic Trend Components
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