A new approximate GLS estimator for the linear regression model with ARMA(\(p,q\)) disturbances

DOI10.1016/0165-1765(94)00603-YzbMath0875.90204OpenAlexW2013109791MaRDI QIDQ673563

Simon Power, Askar H. Choudhury

Publication date: 28 February 1997

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

Full work available at URL: https://doi.org/10.1016/0165-1765(94)00603-y

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Economic time series analysis (91B84)

Cites Work

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• Linear models with correlated disturbances
• Linear Methods for Estimating Arma and Regression Models with Serial Correlation
• The exact likelihood function for a mixed autoregressive-moving average process
• The Estimation and Use of Models with Moving Average Disturbance Terms: A Survey
• Generalized Least Squares with an Estimated Autocovariance Matrix
• Computation of the exact likelihood function of an arima process
• Analysis of autoregressive-moving average models: Estimation and prediction
• An algorithm for the exact likelihood of a mixed autoregressive-moving average process

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