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New exact ML estimation and inference for a Gaussian MA(1) process

Dimitrios Vougas

Economics Letters, 2008, vol. 99, issue 1, 172-176

Abstract: For a Gaussian MA(1) process, a new exact ML estimator is proposed that avoids the pile-up phenomenon (boundary estimates). Finite sample comparison is undertaken, along with Wald-type inference for an MA unit root or over-differencing (stationarity).

Date: 2008
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Handle: RePEc:eee:ecolet:v:99:y:2008:i:1:p:172-176