Title of article
A generalized least squares estimation method for invertible vector moving average models
Author/Authors
Rafael Flores de Frutos، نويسنده , , Gregorio R. Serrano، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 1997
Pages
8
From page
149
To page
156
Abstract
We propose a new GLS procedure for estimating VMA models. Its main feature is to consider the stochastic structure of the approximation errors arising when lagged VMA innovations are replaced with lagged residuals from a long VAR.
Keywords
VARMA models estimation , Model specification
Journal title
Economics Letters
Serial Year
1997
Journal title
Economics Letters
Record number
434436
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