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AR Versus MA Disturbance Terms

Author

Listed:
  • Richard Carter

    (University of Western Ontario & University of Calgary)

  • Arnold Zellner

    (University of Chicago)

Abstract

We show how several models with moving average errors can be easily rewritten as models with autoregressive errors, thereby simplifying inference.

Suggested Citation

  • Richard Carter & Arnold Zellner, 2003. "AR Versus MA Disturbance Terms," Economics Bulletin, AccessEcon, vol. 3(21), pages 1-3.
    • Handle: RePEc:ebl:ecbull:eb-03c20006
    as

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    File URL: http://www.accessecon.com/pubs/EB/2003/Volume3/EB-03C20006A.pdf
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    References listed on IDEAS

    as
    1. Carter Richard A. L. & Zellner Arnold, 2004. "The ARAR Error Model for Univariate Time Series and Distributed Lag," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 8(1), pages 1-44, March.
    2. R. A. L. Carter & A. Zellner, 2002. "The ARAR Error Model for Univariate Time Series and Distributed Lag Models," University of Western Ontario, Departmental Research Report Series 20025, University of Western Ontario, Department of Economics.
    3. Nicholls, D F & Pagan, Adrian R & Terrell, R D, 1975. "The Estimation and Use of Models with Moving Average Disturbance Terms: A Survey," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 16(1), pages 113-134, February.
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    JEL classification:

    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables

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