A note on an iterative least-squares estimation method for ARMA and VARMA models

Economics Letters

Volumn 79, Issue 3, 2003, Pages 305-312

  Kapetanios, George ^a  

^a QUEEN MARY UNIVERSITY OF LONDON   (United Kingdom)

Author keywords

ARMA models

Indexed keywords

EID: 0037410230     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0165-1765(03)00005-3     Document Type: Article

References (8)

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5. Koreisha S.Pukkila T.A GLS approach for estimation of ARMA models Journal of Time Series Analysis 11 1990 139-151
6. Koreisha S.Yoshimoto G.A comparison between identification procedures for ARMA models International Statistical Review 59 1991 37-57
7. Lutkepohl H. Introduction to Multiple Time Series Analysis 1993 SpringerNew York
8. Ng S. Perron P.Unit root tests in ARMA models with data-dependent methods for the selection of the truncation lag Journal of the American Statistical Association 90 1995 268-281