Known Moving-Average Transformations and Autoregressive Processes

J.C.R. Rowley and D.A. Wilton
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J.C.R. Rowley: Queen's University
D.A. Wilton: Queen's University

No 70, Working Paper from Economics Department, 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.

Pages: 9 pages
Date: 1972-02
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Citations: View citations in EconPapers (1)

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