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A new approximate GLS estimator for the linear regression model with ARMA(p, q) disturbances

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  • Choudhury, Askar H.
  • Power, Simon

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  • Choudhury, Askar H. & Power, Simon, 1995. "A new approximate GLS estimator for the linear regression model with ARMA(p, q) disturbances," Economics Letters, Elsevier, vol. 48(2), pages 119-127, May.
    • Handle: RePEc:eee:ecolet:v:48:y:1995:i:2:p:119-127
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    References listed on IDEAS

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    1. Park, Choon Y. & Heikes, Russell G., 1983. "A note on Balestra's (1980) approximate estimator for the first-order moving average process," Journal of Econometrics, Elsevier, vol. 21(3), pages 387-388, April.
    2. Amemiya, Takeshi, 1973. "Generalized Least Squares with an Estimated Autocovariance Matrix," Econometrica, Econometric Society, vol. 41(4), pages 723-732, July.
    3. Zinde-Walsh, Victoria, 1988. "Some Exact Formulae for Autoregressive Moving Average Processes," Econometric Theory, Cambridge University Press, vol. 4(3), pages 384-402, December.
    4. Galbraith, John W. & Zinde-Walsh, Victoria, 1992. "The GLS Transformation Matrix and a Semi-recursive Estimator for the Linear Regression Model with ARMA Errors," Econometric Theory, Cambridge University Press, vol. 8(1), pages 95-111, March.
    5. Nicholls, D F & Pagan, Adrian R & Terrell, R D, 1975. "The Estimation and Use of Models with Moving Average Disturbance Terms: A Survey," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 16(1), pages 113-134, February.
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