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Econometric Theory
Volumn 14, Issue 3, 1998, Pages 326-338
On estimating an arma model with an MA unit root
Author keywords

[No Author keywords available]
Indexed keywords

EID: 0032352646     PISSN: 02664666     EISSN: None     Source Type: Journal    
DOI: 10.1017/s0266466698143025     Document Type: Article
Times cited : (7)
References (13)
  • 1
    • 21344476124 scopus 로고
    • A review of some aspects of asymptotic likelihood theory for stochastic processes
    • Barndorf-Neilson, O.D. & M. Sorenson (1994) A review of some aspects of asymptotic likelihood theory for stochastic processes. International Statistical Review 42, 133-165.
    • (1994) International Statistical Review , vol.42 , pp. 133-165
    • Barndorf-Neilson, O.D.1    Sorenson, M.2
  • 2
    • 0038716966 scopus 로고    scopus 로고
    • Asymptotic inference for non-invertible moving-average time series
    • Chan, N.H. & R.S. Tsay (1996) Asymptotic inference for non-invertible moving-average time series. Journal of Time Series Analysis 17, 1-17.
    • (1996) Journal of Time Series Analysis , vol.17 , pp. 1-17
    • Chan, N.H.1    Tsay, R.S.2
  • 3
    • 0009075768 scopus 로고
    • Small-sample properties of the maximum likelihood estimator in the first-order moving average model
    • Cryer, J.D. & J. Ledolter (1981) Small-sample properties of the maximum likelihood estimator in the first-order moving average model. Biometrika 68, 691-694.
    • (1981) Biometrika , vol.68 , pp. 691-694
    • Cryer, J.D.1    Ledolter, J.2
  • 5
    • 0030534395 scopus 로고    scopus 로고
    • Maximum-likelihood estimation for MA(1) processes with a unit root on or near the unit circle
    • Davis, R.A. & W.T.M. Dunsmuir (1996) Maximum-likelihood estimation for MA(1) processes with a unit root on or near the unit circle. Econometric Theory 12, 1-29.
    • (1996) Econometric Theory , vol.12 , pp. 1-29
    • Davis, R.A.1    Dunsmuir, W.T.M.2
  • 8
    • 84971922834 scopus 로고
    • Noninvertibility and pseudo-maximum likelihood estimation of ARMA models
    • Potscher, B.M. (1991) Noninvertibility and pseudo-maximum likelihood estimation of ARMA models. Econometric Theory 7, 435-449.
    • (1991) Econometric Theory , vol.7 , pp. 435-449
    • Potscher, B.M.1
  • 9
    • 0001049060 scopus 로고
    • Maximum-likelihood estimation of regression models with first order moving average errors when the root lies on the unit circle
    • Sargan, J.D. & A. Bhargava (1983) Maximum-likelihood estimation of regression models with first order moving average errors when the root lies on the unit circle. Econometrica 51, 799-820.
    • (1983) Econometrica , vol.51 , pp. 799-820
    • Sargan, J.D.1    Bhargava, A.2
  • 10
    • 21144463603 scopus 로고
    • Distribution of the ML estimator of an MA(1) and local level model
    • Shephard, N. (1993) Distribution of the ML estimator of an MA(1) and local level model. Econometric Theory 9, 377-401.
    • (1993) Econometric Theory , vol.9 , pp. 377-401
    • Shephard, N.1
  • 11
    • 84971870959 scopus 로고
    • Testing for a moving average unit root
    • Tanaka, K. (1990) Testing for a moving average unit root. Econometric Theory 6 433-444.
    • (1990) Econometric Theory , vol.6 , pp. 433-444
    • Tanaka, K.1
  • 12
    • 84974509598 scopus 로고
    • Asymptotic properties of the maximum likelihood and nonlinear least squares estimators for noninvertible moving average models
    • Tanaka, K. & S.E. Satchell (1989) Asymptotic properties of the maximum likelihood and nonlinear least squares estimators for noninvertible moving average models. Econometric Theory 5, 333-353.
    • (1989) Econometric Theory , vol.5 , pp. 333-353
    • Tanaka, K.1    Satchell, S.E.2
  • 13
    • 21144466286 scopus 로고
    • Testing for noninvertible models with applications
    • Tsay, R.S. (1993) Testing for noninvertible models with applications. Journal of Business and Economic Statistics 11, 225-233.
    • (1993) Journal of Business and Economic Statistics , vol.11 , pp. 225-233
    • Tsay, R.S.1

* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.