Maximum Likelihood Estimation of Stochastic Linear Difference Equations with Autoregressive Moving Average Errors
From MaRDI portal
Publication:4174129
DOI10.2307/1912351zbMath0392.62074OpenAlexW2092273707MaRDI QIDQ4174129
Publication date: 1979
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/1912351
Maximum Likelihood EstimatorAsymptotically Efficient Estimation ProcedureAutoregressive Moving Average ErrorsLimiting Multivariate Normal DistributionScalar Linear Time Series ModelsStochastic Linear Difference Equations
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Related Items (4)
ALGORITHMS FOR ESTIMATION OF POSSIBLY NONSTATIONARY VECTOR TIME SERIES ⋮ Improvement of the quasi‐likelihood ratio test in ARMA models: some results for bootstrap methods ⋮ FIML estimation of the dynamic simultaneous equations model with ARMA disturbances ⋮ COMPARING TESTS OF AUTOREGRESSIVE VERSUS MOVING AVERAGE ERRORS IN REGRESSION MODELS USING BAHADUR’S ASYMPTOTIC RELATIVE EFFICIENCY
This page was built for publication: Maximum Likelihood Estimation of Stochastic Linear Difference Equations with Autoregressive Moving Average Errors