A Compendium on Estimation of the Autoregressive Moving Average Model from the Series Data

DOI10.2307/2525351zbMath0229.62048OpenAlexW2041691168MaRDI QIDQ5637767

Dennis J. Aigner

Publication date: 1971

Published in: International Economic Review (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2525351

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Large sample estimation and testing procedures for dynamic equation systems ⋮ AUTOREG: A computer program library for dynamic econometric models with autoregressive errors ⋮ Improved maximum likelihood estimation of ARMA models ⋮ Computation of the exact likelihood function of an arima process ⋮ Testing for autocorrelation in the autoregressive moving average error model ⋮ The first-order moving average process. Identification, estimation and prediction ⋮ Retail inventory investment behaviour ⋮ A Monte Carlo study of autoregressive integrated moving average processes ⋮ Estimation of a non-invertible moving average process: the case of overdifferencing

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