A NOTE ON THE MAXIMUM LIKELIHOOD ESTIMATION OF REGRESSION MODELS WITH FIRST ORDER MOVING AVERAGE ERRORS WITH ROOTS ON THE UNIT CIRCLE
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Publication:3040370
DOI10.1111/j.1467-842X.1983.tb01215.xzbMath0526.62082MaRDI QIDQ3040370
Publication date: 1983
Published in: Australian Journal of Statistics (Search for Journal in Brave)
exact maximum likelihood estimation of regression modelsfirst order moving average errorsroots on unit circle
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05)
Related Items (4)
Residual variance estimation in moving average models ⋮ Empirically feasible solutions and explicit dynamics for rational expectation models ⋮ WHY DO NONINVERTIBLE ESTIMATED MOVING AVERAGES OCCUR?* ⋮ Inference for regression models with errors from a non-invertible MA(1) process
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