A new approximate GLS estimator for the linear regression model with ARMA(p,q) disturbances

DOI10.1016/0165-1765(94)00603-YMaRDI QIDQ673563zbMATH OpenOpenAlexFDO

Authors Askar H. Choudhury, Simon Power

Publication date 28 February 1997

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0165-1765(94)00603-y

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Economic time series analysis (91B84)

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Cites work

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• scientific article; zbMATH DE number 3709465 (Why is no real title available?)
• scientific article; zbMATH DE number 3731195 (Why is no real title available?)
• An algorithm for the exact likelihood of a mixed autoregressive-moving average process
• Analysis of autoregressive-moving average models: Estimation and prediction
• Computation of the exact likelihood function of an arima process
• Generalized Least Squares with an Estimated Autocovariance Matrix
• Linear Methods for Estimating Arma and Regression Models with Serial Correlation
• Linear models with correlated disturbances
• The Estimation and Use of Models with Moving Average Disturbance Terms: A Survey
• The exact likelihood function for a mixed autoregressive-moving average process

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• A computationally attractive method for estimating the linear regression model with autoregressive moving average disturbances

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