GENERALIZED LEAST SQUARES ESTIMATION OF ARMA MODELS

L. Kavalieris, E. J. Hannan and M. Salau

Journal of Time Series Analysis, 2003, vol. 24, issue 2, 165-172

Abstract: Abstract. Two multistage methods for estimating scalar ARMA models are investigated. Both estimate innovations using an autoregression; these are used to obtain initial ARMA parameter estimates by regression and finally the initial estimates are refined by generalized least squares or nonlinear optimization to achieve efficiency. We provide a proof of the generalized least squares procedure.

Date: 2003
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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:24:y:2003:i:2:p:165-172

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