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

DOI10.2307/1912351zbMath0392.62074OpenAlexW2092273707MaRDI QIDQ4174129

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

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

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