Title of article
A note on an iterative least-squares estimation method for ARMA and VARMA models
Author/Authors
George Kapetanios، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2003
Pages
8
From page
305
To page
312
Abstract
In this note we suggest a new iterative least-squares method for estimating scalar and vector ARMA models. A Monte Carlo study shows that the method has better small sample properties than existing least-squares methods and compares favourably with maximum likelihood estimation as well.
Keywords
ARMA models
Journal title
Economics Letters
Serial Year
2003
Journal title
Economics Letters
Record number
435181
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