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Problems with the estimation of moving average processes

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  • Davidson, James E. H.

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File URL: http://www.sciencedirect.com/science/article/B6VC0-4582CXP-1M/2/29be55cd8bd0cea14c13ecab336f5d27
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Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 16 (1981)
Issue (Month): 3 (August)
Pages: 295-310

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Handle: RePEc:eee:econom:v:16:y:1981:i:3:p:295-310

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Web page: http://www.elsevier.com/locate/jeconom

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Cited by:
  1. Kim, Chang-Jin & Kim, Jaeho, 2013. "The `Pile-up Problem' in Trend-Cycle Decomposition of Real GDP: Classical and Bayesian Perspectives," MPRA Paper 51118, University Library of Munich, Germany.
  2. Christian Kascha & Karel Mertens, 2006. "Business Cycle Analysis and VARMA models," Economics Working Papers ECO2006/37, European University Institute.
  3. Ralph D Snyder, 2005. "A Pedant's Approach to Exponential Smoothing," Monash Econometrics and Business Statistics Working Papers 5/05, Monash University, Department of Econometrics and Business Statistics.
  4. Vougas, Dimitrios V., 2008. "New exact ML estimation and inference for a Gaussian MA(1) process," Economics Letters, Elsevier, vol. 99(1), pages 172-176, April.
  5. 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.
  6. Yamane, Linus, 1998. "The insider-outsider model and Japanese labor unions," Japan and the World Economy, Elsevier, vol. 10(2), pages 157-171, April.
  7. Krishnan, R. & Sen, Kunal, 1995. "Measuring persistence in industrial output: The Indian case," Journal of Development Economics, Elsevier, vol. 48(1), pages 25-41, October.

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