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Maximum Likelihood Estimation of Difference Equations with Moving Average Errors: A Simulation Study

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  • D. F. Hendry
  • P. K. Trivedi

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  • D. F. Hendry & P. K. Trivedi, 1972. "Maximum Likelihood Estimation of Difference Equations with Moving Average Errors: A Simulation Study," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 39(2), pages 117-145.
    • Handle: RePEc:oup:restud:v:39:y:1972:i:2:p:117-145.
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    File URL: http://hdl.handle.net/10.2307/2296866
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    Citations

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    Cited by:

    1. Beach, Charles M. & Yeo, Stephen, 1979. "Exact Maximum Likelihood Estimation of Regression Equations with a General Stationary Auto-Regressive Disturbance," Queen's Institute for Economic Research Discussion Papers 275148, Queen's University - Department of Economics.
    2. Neil R. Ericsson & Jaime R. Marquez, 1990. "Evaluating the predictive performance of trade-account models," International Finance Discussion Papers 377, Board of Governors of the Federal Reserve System (U.S.).
    3. Davidson, Russell & MacKinnon, James G., 1992. "Regression-based methods for using control variates in Monte Carlo experiments," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 203-222.
    4. Bontemps, Christophe & Mizon, Grayham E., 2001. "Congruence and encompassing," Discussion Paper Series In Economics And Econometrics 107, Economics Division, School of Social Sciences, University of Southampton.
    5. C. R. McKenzie & Michael McAleer, 2001. "Comparing Tests of Autoregressive Versus Moving Average Errors in Regression Models Using Bahadur's Asymptotic Relative Efficiency," ISER Discussion Paper 0537, Institute of Social and Economic Research, Osaka University.
    6. Geoffrey M. Heal, 1975. "The Influence of Interest Rates on Resource Prices," Cowles Foundation Discussion Papers 407, Cowles Foundation for Research in Economics, Yale University.
    7. Hendry, David F., 1984. "Monte carlo experimentation in econometrics," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 16, pages 937-976, Elsevier.
    8. Russell Davidson & James G. Mackinnon, 1990. "Regression-Based Methods for Using Control and Antithetic Variates in Monte Carlo Experiments," Working Paper 781, Economics Department, Queen's University.
    9. Jan F. Kiviet, 1986. "On the Rigour of Some Misspecification Tests for Modelling Dynamic Relationships," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 53(2), pages 241-261.
    10. Denise R. Osborn, 1976. "Maximum Likelihood Estimation of Moving Average Processes," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 5, number 1, pages 75-87, National Bureau of Economic Research, Inc.
    11. Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry, 2024. "Forecasting the UK top 1% income share in a shifting world," Economica, London School of Economics and Political Science, vol. 91(363), pages 1047-1074, July.
    12. Bontemps, Christophe & Mizon, Grayham E., 2001. "Congruence and encompassing," Discussion Paper Series In Economics And Econometrics 0107, Economics Division, School of Social Sciences, University of Southampton.
    13. David F. Hendry & Peter C.B. Phillips, 2017. "John Denis Sargan at the London School of Economics," Cowles Foundation Discussion Papers 2082, Cowles Foundation for Research in Economics, Yale University.

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