论文信息 - A Note on an Iterative Least Squares Estimation Method for Arma and Varma Models

A Note on an Iterative Least Squares Estimation Method for Arma and Varma Models

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.

George Kapetanios | G. Kapetanios

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