Full Maximum Likelihood Estimation of Second-Order Autoregressive Error Models

Charles Beach and James MacKinnon

Working Paper from Economics Department, Queen's University

Abstract: This paper develops a technique for estimating linear models with second-order autoregressive errors, which utilizes the full set of observations, and explicitly constrains the estimates of the error process to satisfy a priori stationarity conditions. A nonlinear solution technique which is new to econometrics and works very efficiently is put forward as part of the estimating procedure. Empirical results are presented which emphasize the importance of utilizing the full set of observations and the associated stationarity restrictions.

Pages: 20
Date: 1977
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Published in Journal of Econometrics, 7, 1978

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Persistent link: https://EconPapers.repec.org/RePEc:qed:wpaper:259

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