Linear relations in time series models. II

C. Villegas and Robert R. Rennie

Journal of Multivariate Analysis, 1976, vol. 6, issue 1, 46-64

Abstract: In this paper an asymptotic theory is developed for a new time series model which was introduced in a previous paper [5]. An algorithm for computing estimates of the parameters of this time series model is given, and it is shown that these estimators are asymptotically efficient in the sense that they have the same asymptotic distribution as the maximum likelihood estimators.

Keywords: Multiple; time; series; Maximum; likelihood; estimation (search for similar items in EconPapers)
Date: 1976
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