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Maximum Likelihood Estimation of Moving Average Processes

In: Annals of Economic and Social Measurement, Volume 5, number 1

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  • Denise R. Osborn

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  • Denise R. Osborn, 1976. "Maximum Likelihood Estimation of Moving Average Processes," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 5, number 1, pages 75-87, National Bureau of Economic Research, Inc.
    • Handle: RePEc:nbr:nberch:12707
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    References listed on IDEAS

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    1. M. H. Pesaran, 1973. "Exact Maximum Likelihood Estimation of a Regression Equation with a First-Order Moving-Average Error," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 40(4), pages 529-535.
    2. D. F. Hendry & P. K. Trivedi, 1972. "Maximum Likelihood Estimation of Difference Equations with Moving Average Errors: A Simulation Study," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 39(2), pages 117-145.
    3. Hendry, D F, 1971. "Maximum Likelihood Estimation of Systems of Simultaneous Regression Equations with Errors Generated by a Vector Autoregressive Process," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 12(2), pages 257-272, June.
    4. P. K. Trivedi, 1970. "Inventory Behaviour in U.K. Manufacturing 1956–67," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 37(4), pages 517-536.
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    Cited by:

    1. Heuts, R.M.J., 1977. "Some reformulations and extensions in the univariate Box-Jenkins time series analysis approach (A revised version)," Other publications TiSEM 80fe73e5-ec23-4f45-9089-e, Tilburg University, School of Economics and Management.
    2. P. K. Trivedi & J. Rayner, 1978. "Wage Inertia and Comparison Effects in Australian Award Wage Determination, 1964‐74," The Economic Record, The Economic Society of Australia, vol. 54(2), pages 195-218, August.
    3. Rahiala, Markku, . "On the Identification and Estimation of Multiple Input Transfer Function Models with Autocorrelated Errors," ETLA A, The Research Institute of the Finnish Economy, number 8.
    4. Palm, Franz & Zellner, Arnold, 1981. "Large sample estimation and testing procedures for dynamic equation systems," Journal of Econometrics, Elsevier, vol. 17(1), pages 131-138, September.
    5. Paul Labonne, 2020. "Capturing GDP nowcast uncertainty in real time," Papers 2012.02601, arXiv.org, revised Oct 2021.

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