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An asymptotic justification for a modified GLS procedure to estimate ARMA parameters

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  • van der Leeuw, J.L.
  • Tigelaar, H.H.

    (Tilburg University, Faculty of Economics)

Abstract

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Suggested Citation

  • van der Leeuw, J.L. & Tigelaar, H.H., 1994. "An asymptotic justification for a modified GLS procedure to estimate ARMA parameters," Research Memorandum FEW 662, Tilburg University, School of Economics and Management.
    • Handle: RePEc:tiu:tiurem:01f8dc96-8313-4917-b804-227ed855381c
    as

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    References listed on IDEAS

    as
    1. Magnus, Jan R., 1978. "Maximum likelihood estimation of the GLS model with unknown parameters in the disturbance covariance matrix," Journal of Econometrics, Elsevier, vol. 7(3), pages 281-312, April.
    2. van der Leeuw, J.L., 1993. "First order conditions for the maximum likelihood estimation of an exact ARMA model," Other publications TiSEM 2296c5eb-adb8-471c-8408-6, Tilburg University, School of Economics and Management.
    3. vdr Leeuw, J.L., 1992. "The covariance matrix of ARMA-errors in closed form," Research Memorandum FEW 562, Tilburg University, School of Economics and Management.
    4. van der Leeuw, J.L., 1993. "First order conditions for the maximum likelihood estimation of an exact ARMA model," Research Memorandum FEW 611, Tilburg University, School of Economics and Management.
    5. Pagan, Adrian, 1974. "A Generalised Approach to the Treatment of Autocorrelation," Australian Economic Papers, Wiley Blackwell, vol. 13(23), pages 267-280, December.
    Full references (including those not matched with items on IDEAS)

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    Keywords

    ARMA Models; econometrics;

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