Exact Maximum Likelihood Estimation of Regression Models with Finite Order Moving Average Errors
From MaRDI portal
Publication:4130782
DOI10.2307/2297215zbMath0358.62046MaRDI QIDQ4130782
D. F. Nicholls, Adrian R. Pagan
Publication date: 1976
Published in: The Review of Economic Studies (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/2297215
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62J05: Linear regression; mixed models
Related Items
Advanced methods of recursive time-series analysis, Modified Lagrange multiplier tests for problems with one-sided alternatives, The behaviour of inconsistent instrumental variables estimators in dynamic systems with autocorrelated errors, Bayes inference in regression models with ARMA\((p,q)\) errors, Prediction in random coefficient regression, Coefficient constancy test in AR-ARCH models, The misspecification of dynamic regression models, Refined instrumental variable methods of recursive time-series analysis Part II. Multivariable systems, Refined instrumental variable methods of recursive time-series analysis Part I. Single input, single output systems