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

DOI10.1016/0165-1765(94)00603-YzbMATH Open0875.90204OpenAlexW2013109791MaRDI QIDQ673563FDOQ673563

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

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Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• Analysis of autoregressive-moving average models: Estimation and prediction
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• The exact likelihood function for a mixed autoregressive-moving average process
• An algorithm for the exact likelihood of a mixed autoregressive-moving average process
• Linear models with correlated disturbances
• Linear Methods for Estimating Arma and Regression Models with Serial Correlation
• Title not available (Why is that?)
• The Estimation and Use of Models with Moving Average Disturbance Terms: A Survey
• Generalized Least Squares with an Estimated Autocovariance Matrix
• Computation of the exact likelihood function of an arima process

Cited In (1)

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

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