Maximum Likelihood Estimation of Stochastic Linear Difference Equations with Autoregressive Moving Average Errors
DOI10.2307/1912351zbMATH Open0392.62074OpenAlexW2092273707MaRDI QIDQ4174129FDOQ4174129
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
Maximum Likelihood EstimatorAsymptotically Efficient Estimation ProcedureAutoregressive Moving Average ErrorsLimiting Multivariate Normal DistributionScalar Linear Time Series ModelsStochastic Linear Difference Equations
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
- COMPARING TESTS OF AUTOREGRESSIVE VERSUS MOVING AVERAGE ERRORS IN REGRESSION MODELS USING BAHADUR’S ASYMPTOTIC RELATIVE EFFICIENCY
- 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
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