PARAMETER IDENTIFICATION IN ARMA PROCESSES IN THE PRESENCE OF REGULAR BUT INCOMPLETE SAMPLING

Theo Nijman and Franz Palm

Journal of Time Series Analysis, 1990, vol. 11, issue 3, 239-248

Abstract: Abstract. We discuss the parameter identification of multivariate AR (1) models and of univariate ARMA (2,1) and AR (2) models if the variables in the model are observed every mth period where m is some integer greater than unity. The results indicate that the models will often not be globally identified even if they are locally identified and that the likelihood function can have a large number of local maxima.

Date: 1990
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https://doi.org/10.1111/j.1467-9892.1990.tb00055.x

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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:11:y:1990:i:3:p:239-248

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