The asymptotic covariance matrix of the QMLE in ARMA models

DOI10.1080/07474938.2016.1140287zbMath1491.62086OpenAlexW2291526999MaRDI QIDQ5034253

Yong Bao

Publication date: 24 February 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474938.2016.1140287

zbMATH Keywords

ARMAquasi maximum likelihoodasymptotic covariance

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

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• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Estimation of vector Armax models
• Time series: theory and methods.
• Gaussian Maximum Likelihood Estimation For ARMA Models. I. Time Series
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Checking the Independence of Two Covariance-Stationary Time Series: A Univariate Residual Cross-Correlation Approach
• ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL
• The asymptotic theory of linear time-series models
• Finite Sample Econometrics

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