ON THE RELATIONSHIP BETWEEN GENERALIZED LEAST SQUARES AND GAUSSIAN ESTIMATION OF VECTOR ARMA MODELS

Donald Poskitt and M. O. Salau

Journal of Time Series Analysis, 1995, vol. 16, issue 6, 617-645

Abstract: Abstract. This paper investigates theoretical aspects of the relationship between the generalized least squares and Gaussian estimation schemes for vector autoregressive moving‐average models. The asymptotic convergence of the generalized least squares estimator to the Gaussian estimator is established and an alternative numerical method for implementing the generalized least squares scheme is proposed. Finally, some simulation results are presented to illustrate the theory.

Date: 1995
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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:16:y:1995:i:6:p:617-645

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