Exact likelihood function for a regression model with \(MA(1)\) errors

DOI10.1016/0165-1765(87)90241-2zbMath1328.62533OpenAlexW2082188555WikidataQ126816745 ScholiaQ126816745MaRDI QIDQ899982

Pedro L. Valls Pereira

Publication date: 1 January 2016

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

Full work available at URL: https://doi.org/10.1016/0165-1765(87)90241-2

Mathematics Subject Classification ID

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

Cites Work

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• The exact initial covariance matrix of the state vector of a general \(MA(q)\) process
• A note on the exact transformation associated with the first-order moving average process

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