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Maximum Likelihood Estimation of Exact ARMA Models

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  • vdr Leeuw, J.L.

    (Tilburg University, School of Economics and Management)

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  • vdr Leeuw, J.L., 1997. "Maximum Likelihood Estimation of Exact ARMA Models," Other publications TiSEM a1cdd9b8-93d9-460c-a0c9-1, Tilburg University, School of Economics and Management.
    • Handle: RePEc:tiu:tiutis:a1cdd9b8-93d9-460c-a0c9-19a24f4f49ce
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    File URL: https://repository.tilburguniversity.edu/bitstreams/d78bcf6c-0c16-47ce-a28e-031e432ee5c9/download
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    References listed on IDEAS

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    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. Pagan, Adrian, 1974. "A Generalised Approach to the Treatment of Autocorrelation," Australian Economic Papers, Wiley Blackwell, vol. 13(23), pages 267-280, December.
    3. Nerlove, Marc & Grether, David M. & Carvalho, José L., 1979. "Analysis of Economic Time Series," Elsevier Monographs, Elsevier, edition 1, number 9780125157506 edited by Shell, Karl.
    4. Ian McLeod, 1977. "Derivation of the Theoretical Autocovariance Function of Autoregressive‐Moving Average Time Series," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 26(2), pages 194-194, June.
    5. Oberhofer, W & Kmenta, J, 1974. "A General Procedure for Obtaining Maximum Likelihood Estimates in Generalized Regression Models," Econometrica, Econometric Society, vol. 42(3), pages 579-590, May.
    6. Zinde-Walsh, Victoria, 1988. "Some Exact Formulae for Autoregressive Moving Average Processes," Econometric Theory, Cambridge University Press, vol. 4(3), pages 384-402, December.
    7. van der Leeuw, Jan, 1994. "The covariance matrix of ARMA errors in closed form," Journal of Econometrics, Elsevier, vol. 63(2), pages 397-405, August.
    8. Zinde-Walsh, Victoria & Galbraith, John W., 1991. "Estimation of a linear regression model with stationary ARMA(p, q) errors," Journal of Econometrics, Elsevier, vol. 47(2-3), pages 333-357, February.
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