A note on an iterative least-squares estimation method for ARMA and VARMA models

被引：17
|
作者：
Kapetanios, G [1 ]
机构：
[1] Queen Mary Univ London, Dept Econ, London E1 4NS, England
来源：
ECONOMICS LETTERS | 2003年 / 79卷 / 03期
关键词：
ARMA models;
D O I：
10.1016/S0165-1765(03)00005-3
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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. (C) 2003 Elsevier Science B.V. All rights reserved.
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页码：305 / 312
页数：8
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