Economics at your fingertips  

The properties of some two step estimators of ARMA Models

Colin McKenzie

Mathematics and Computers in Simulation (MATCOM), 1997, vol. 43, issue 3, 451-456

Abstract: This paper analyzes the large sample properties of several two step estimators that have recently been suggested for estimating autoregressive moving-average models. As these estimators typically involve generated regressors, the generated regressor literature suggests that, in general, they will be inefficient and their estimated formula standard errors will be inconsistent estimates of the true standard errors. Deriving the covariance matrix of the true disturbances in these models enables consistent estimates of the true standard errors and efficient generalized least squares estimators to be computed.

Date: 1997
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

DOI: 10.1016/S0378-4754(97)00031-1

Access Statistics for this article

Mathematics and Computers in Simulation (MATCOM) is currently edited by Robert Beauwens

More articles in Mathematics and Computers in Simulation (MATCOM) from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

Page updated 2021-08-28
Handle: RePEc:eee:matcom:v:43:y:1997:i:3:p:451-456