A Note on an Iterative Least Squares Estimation Method for ARMA and VARMA Models

George Kapetanios

No 467, Working Papers from Queen Mary University of London, School of Economics and Finance

Abstract: In this note we suggest a new iterative least squares method for estimating scalar and vector ARMA models. A Monte Carlo study shows that the method has better small sample properties than existing least squares methods and compares favourably with maximum likelihood estimation as well.

Keywords: ARMA; models (search for similar items in EconPapers)
JEL-codes: C13 C22 (search for similar items in EconPapers)
Date: 2002-11-01
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Journal Article: A note on an iterative least-squares estimation method for ARMA and VARMA models (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:qmw:qmwecw:467

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