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The Estimation of Mixed Regression, Autoregression, Moving Average, and Distributed Lag Models

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  • Hannan, E J
  • Nicholls, D F

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  • Hannan, E J & Nicholls, D F, 1972. "The Estimation of Mixed Regression, Autoregression, Moving Average, and Distributed Lag Models," Econometrica, Econometric Society, vol. 40(3), pages 529-547, May.
    • Handle: RePEc:ecm:emetrp:v:40:y:1972:i:3:p:529-47
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    Cited by:

    1. Hsiao, Cheng & Robinson, P M, 1978. "Efficient Estimation of a Dynamic Error-Shock Model," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 19(2), pages 467-479, June.
    2. Fiorentini, Gabriele & Galesi, Alessandro & Sentana, Enrique, 2018. "A spectral EM algorithm for dynamic factor models," Journal of Econometrics, Elsevier, vol. 205(1), pages 249-279.
    3. Rusdu Saracoglu, 1977. "The maximum likelihood estimation of parameters in mixed autoregressive moving-average multivariate models," Staff Report 20, Federal Reserve Bank of Minneapolis.

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