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

DOI10.1016/S0165-1765(03)00005-3zbMath1255.62254OpenAlexW3121984467MaRDI QIDQ1927312

George Kapetanios

Publication date: 1 January 2013

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

Full work available at URL: https://doi.org/10.1016/s0165-1765(03)00005-3

zbMATH Keywords

ARMA models

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

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Cites Work

• Linear Methods for Estimating Arma and Regression Models with Serial Correlation
• Recursive estimation of mixed autoregressive-moving average order
• Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag
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