A generalized least squares estimation method for varma models

Statistics

Volumn 36, Issue 4, 2002, Pages 303-316

  De Frutos, Rafael Flores ^a   Serrano, Gregorio R ^a  

^a UNIVERSIDAD COMPLUTENSE DE MADRID   (Spain)

Author keywords

Generalized least squares; Model specification; VARMA models estimation

Indexed keywords

EID: 0036934461     PISSN: 02331888     EISSN: None     Source Type: Journal    
DOI: 10.1080/02331880213193     Document Type: Article

References (10)

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10. Spliid, H. (1983). A fast estimation method for the vector autoregressive moving average model with exogenous variables. Journal of the American Statistical Association, 78, 843-849.