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On the criterion function for arma estimation

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  • Pollock, D.S.G.

    (Vrije Universiteit Amsterdam, Faculteit der Economische Wetenschappen en Econometrie (Free University Amsterdam, Faculty of Economics Sciences, Business Administration and Economitrics)

Abstract

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Suggested Citation

  • Pollock, D.S.G., 1991. "On the criterion function for arma estimation," Serie Research Memoranda 0074, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    • Handle: RePEc:vua:wpaper:1991-74
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    File URL: http://degree.ubvu.vu.nl/repec/vua/wpaper/pdf/19910074.pdf
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    References listed on IDEAS

    as
    1. Murray A. Cameron & T. Rolf Turner, 1987. "Fitting Models to Spectra Using Regression Packages," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 36(1), pages 47-57, March.
    2. Davidson, James E. H., 1981. "Problems with the estimation of moving average processes," Journal of Econometrics, Elsevier, vol. 16(3), pages 295-310, August.
    3. Pukkila, Tarmo M., 1988. "An improved estimation method for univariate autoregressive models," Journal of Multivariate Analysis, Elsevier, vol. 27(2), pages 422-433, November.
    4. T. W. Anderson & Akimichi Takemura, 1986. "Why Do Noninvertible Estimated Moving Averages Occur?," Journal of Time Series Analysis, Wiley Blackwell, vol. 7(4), pages 235-254, July.
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    Cited by:

    1. Stephen Pollock, 2000. "Circulant Matrices and Time-series Analysis," Working Papers 422, Queen Mary University of London, School of Economics and Finance.

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