Exact likelihood function for a regression model with MA(1) errors

DOI10.1016/0165-1765(87)90241-2zbMATH Open1328.62533OpenAlexW2082188555WikidataQ126816745 ScholiaQ126816745MaRDI QIDQ899982FDOQ899982

Authors: Pedro L. Valls Pereira 

Publication date: 1 January 2016

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(87)90241-2

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Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Title not available (Why is that?)
• A note on the exact transformation associated with the first-order moving average process
• The exact initial covariance matrix of the state vector of a general \(MA(q)\) process

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