Estimation of a linear regression model with stationary ARMA (p,q) errors

DOI10.1016/0304-4076(91)90106-NzbMath0714.62089OpenAlexW2042803845MaRDI QIDQ751138

John W. Galbraith, Victoria Zinde-Walsh

Publication date: 1991

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(91)90106-n

zbMATH Keywords

algorithmnuisance parametersmaximum likelihoodgeneralized least squaresconsistent estimationerror covariance matrixARMA(p,q) processMonte Carlo comparisonsmall-sample propertiesstationary Gaussian ARMA processtwo-stage procedures

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05)

Related Items (11)

Transforming the error-components model for estimation with general ARMA disturbances ⋮ Forecasting with serially correlated regression models ⋮ Equivalent sample sizes in time series regressions ⋮ On estimation of nonparametric regression models with autoregressive and moving average errors ⋮ Prediction in several conventional contexts ⋮ Using least squares to generate forecasts in regressions with serial correlation ⋮ On Semiparametric EV Models with Serially Correlated Errors in Both Regression Models and Mismeasured Covariates ⋮ A Joint Regression Variable and Autoregressive Order Selection Criterion ⋮ Simple linear regression with multiple level shifts ⋮ An efficient generalized least squares algorithm for periodic trended regression with autoregressive errors ⋮ On the distributions of augmented Dickey-Fuller statistics in processes with moving average components

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