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Maximum Likelihood Estimation of Regression Models with First Order Moving Average Errors When the Root Lies on the Unit Circle

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Sargan, J D
Bhargava, Alok

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Article provided by Econometric Society in its journal Econometrica.

Volume (Year): 51 (1983)
Issue (Month): 3 (May)
Pages: 799-820
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Handle: RePEc:ecm:emetrp:v:51:y:1983:i:3:p:799-820

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  4. Lawrence J. Christiano & Martin Eichenbaum, 1989. "Unit Roots in Real GNP: Do We Know, and Do We Care?," NBER Working Papers 3130, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  5. Charles R. Nelson, 1987. "Spurious Trend and Cycle in the State Space Decomposition of a Time Series with a Unit Root," NBER Technical Working Papers 0063, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  9. Emili Valdero Mora, 2002. "Linear least squares estimation of the first order moving average parameter," Working Papers in Economics 80, Universitat de Barcelona. Espai de Recerca en Economia. [Downloadable!]
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