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Known Moving-Average Transformations and Autoregressive Processes

Author

Listed:
  • J.C.R. Rowley

    (Queen's University)

  • D.A. Wilton

    (Queen's University)

Abstract

The errors in the linear models which are used so widely by economists may be generated by mixed moving-average autoregressive processes. If errors on an aggregative equation are generated by a mixed moving-average autoregressive process and the weights of the moving-average component of this process are known, then the least-squares procedure can yield consistent estimators of both signal and autoregressive parameters if two adjustments are made to the equation. The autoregressive transformation is combined with pre-multiplication by a Moore-Penrose inverse based on the known weights of the moving-average component.

Suggested Citation

  • J.C.R. Rowley & D.A. Wilton, 1972. "Known Moving-Average Transformations and Autoregressive Processes," Working Paper 70, Economics Department, Queen's University.
    • Handle: RePEc:qed:wpaper:70
    as

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    File URL: http://qed.econ.queensu.ca/working_papers/papers/qed_wp_70.pdf
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    References listed on IDEAS

    as
    1. J.C.R. Rowley & D.A. Wilton, 1971. "Moving-Average Transformations in Classical Linear Models," Working Paper 66, Economics Department, Queen's University.
    2. Zellner, Arnold & Montmarquette, Claude, 1971. "A Study of Some Aspects of Temporal Aggregation Problems in Econometric Analyses," The Review of Economics and Statistics, MIT Press, vol. 53(4), pages 335-342, November.
    3. Aigner, Dennis J, 1971. "A Compendium on Estimation of the Autoregressive-Moving Average Model from Time Series Data," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 12(3), pages 348-371, October.
    4. J.C.R. Rowley & D.A. Wilton, 1971. "Quarterly Models of Wage Determination: Some New Efficient Estimates," Working Paper 51, Economics Department, Queen's University.
    5. Y. Haitovsky, 1968. "Regression Analysis of Grouped Observations when the Cross Classifications are Unknown," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 35(1), pages 77-89.
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    Cited by:

    1. J.C.R. Rowley & D.A. Wilton, 1972. "Temporal Spillover and Autocorrelation in Some Aggregate Models of Wage-Determination," Working Paper 82, Economics Department, Queen's University.

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