Large Sample Properties of Parameter Estimates for Periodic ARMA Models

I. V. Basawa and Robert Lund

Journal of Time Series Analysis, 2001, vol. 22, issue 6, 651-663

Abstract: This paper studies the asymptotic properties of parameter estimates for causal and invertible periodic autoregressive moving‐average (PARMA) time series models. A general limit result for PARMA parameter estimates with a moving‐average component is derived. The paper presents examples that explicitly identify the limiting covariance matrix for parameter estimates from a general periodic autoregression (PAR), a first‐order periodic moving average (PMA(1)), and the mixed PARMA(1,1) model. Some comparisons and contrasts to univariate and vector autoregressive moving‐average sequences are made.

Date: 2001
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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:22:y:2001:i:6:p:651-663

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