IDEAS home Printed from https://ideas.repec.org/a/bla/jtsera/v24y2003i2p165-172.html
   My bibliography  Save this article

Generalized Least Squares Estimation Of Arma Models

Author

Listed:
  • L. KAVALIERIS
  • E. J. HANNAN
  • M. SALAU

Abstract

. Two multistage methods for estimating scalar ARMA models are investigated. Both estimate innovations using an autoregression; these are used to obtain initial ARMA parameter estimates by regression and finally the initial estimates are refined by generalized least squares or nonlinear optimization to achieve efficiency. We provide a proof of the generalized least squares procedure.

Suggested Citation

  • L. Kavalieris & E. J. Hannan & M. Salau, 2003. "Generalized Least Squares Estimation Of Arma Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(2), pages 165-172, March.
    • Handle: RePEc:bla:jtsera:v:24:y:2003:i:2:p:165-172
    DOI: 10.1111/1467-9892.00301
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/1467-9892.00301
    Download Restriction: no
    File URL: https://libkey.io/10.1111/1467-9892.00301?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Christian Kascha, 2012. "A Comparison of Estimation Methods for Vector Autoregressive Moving-Average Models," Econometric Reviews, Taylor & Francis Journals, vol. 31(3), pages 297-324.
    2. Jean-Marie Dufour & Tarek Jouini, 2011. "Asymptotic Distributions for Some Quasi-Efficient Estimators in Echelon VARMA Models," CIRANO Working Papers 2011s-25, CIRANO.
    3. Xinping Xiao & Xue Li, 2023. "A novel compositional data model for predicting the energy consumption structures of Europe, Japan, and China," Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development, Springer, vol. 25(10), pages 11673-11698, October.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:jtsera:v:24:y:2003:i:2:p:165-172. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0143-9782 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.