Consistent estimation of equations with composite moving average disturbance terms
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Publication:594525
DOI10.1016/0304-4076(93)90080-OzbMath0526.62098OpenAlexW1976612783WikidataQ127310021 ScholiaQ127310021MaRDI QIDQ594525
Publication date: 1983
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0304-4076(93)90080-o
estimationconsistencycomposite moving average disturbance termssingle-equation non-linear least squares
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Related Items
THE SUM OF FINITE MOVING AVERAGE PROCESSES, Critical bounds for MA(2) and MA(3) processes, MEASUREMENT ERRORS IN DYNAMIC MODELS, Inference in dynamic models containing 'surprise' variables
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