Maximum Likelihood Estimation of Stochastic Linear Difference Equations with Autoregressive Moving Average Errors

DOI10.2307/1912351MaRDI QIDQ4174129zbMATH OpenOpenAlexFDO

Authors Greg Reinsel

Publication date 1979

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/1912351

zbMATH Keywords

Maximum Likelihood EstimatorAsymptotically Efficient Estimation ProcedureAutoregressive Moving Average ErrorsLimiting Multivariate Normal DistributionScalar Linear Time Series ModelsStochastic Linear Difference Equations

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Cited in

(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

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