Least squares estimation in the regression model with autoregressive-moving average errors

From MaRDI portal
Publication:5633500

DOI10.1093/biomet/58.2.299zbMath0226.62066OpenAlexW2015162326MaRDI QIDQ5633500

David A. Pierce

Publication date: 1971

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/58.2.299



Related Items

OPTIMALITY OF GLS FOR ONE-STEP-AHEAD FORECASTING WITH REGARIMA AND RELATED MODELS WHEN THE REGRESSION IS MISSPECIFIED, Maximum likelihood estimation and inference methods for the covariance stationary panel AR(1)/unit root model, Estimation of semivarying coefficient time series models with ARMA errors, On the semi-varying coefficient dynamic panel data model with autocorrelated errors, Forecasting with serially correlated regression models, Statistical inference for ARMA time series with moving average trend, Consistent estimation of equations with composite moving average disturbance terms, Predictions from ARMAX models, A classified bibliography of Monte Carlo studies in econometrics, Time series regression models with locally stationary disturbance, Minqe, maximum likelihood estimation and fisher scoring algorithm for non linear variance models, Inference for high‐dimensional linear models with locally stationary error processes, Shrinkage estimation for linear regression with ARMA errors, Testing for measurement error in regression with autoregressive innovations, Asymptotic distribution of residual autocorrelations from estimation of ARMA processes by Gram-Schmidt orthogonalization, Problems with the estimation of moving average processes, Distribution of the cross‐correlations of squared residuals in ARIMA models, On the efficiency of regression analysis with AR(p) errors, Asymptotic theory of cepstral random fields, A recursive approach to time-series analysis for multi-variable systems, Forecasting in dynamic models with stochastic regressors, Checks of model adequacy for univariate time series models and their application to econometric relationships, Choices between OLS with robust inference and feasible GLS in time series regressions, Optimal experimental design in econometrics. The time series problem, Estimation of a non-invertible moving average process: the case of overdifferencing, Estimation of a linear regression model with stationary ARMA (p,q) errors