Maximum Likelihood Estimation of ARMA Model with Error Processes for Replicated Observations
AbstractIn this paper we analyse the repeated time series model where the fundamental component follows a ARMA process. In the model, the error variance as well as the number of repetition are allowed to change over time. It is shown that the model is identified. The maximum likelihood estimator is derived using the Kalman filter technique. The model considered in this paper can be considered as extension of the models considered by Anderson (1978), Azzalini (1981) and Wong and Miller (1990)
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Bibliographic InfoPaper provided by National University of Singapore, Department of Economics in its series Departmental Working Papers with number wp0217.
Length: 19 pages
Date of creation: 2002
Date of revision:
ARMA model; Kalman filter; maximum likelihood estimation;
Find related papers by JEL classification:
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2002-11-10 (All new papers)
- NEP-ECM-2002-11-13 (Econometrics)
- NEP-ETS-2002-11-10 (Econometric Time Series)
- NEP-RMG-2002-11-10 (Risk Management)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Wong, Wing-Keung & Bian, Guorui, 2005.
"Estimating parameters in autoregressive models with asymmetric innovations,"
Statistics & Probability Letters,
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- Meher Manzur & Wing-Keung Wong & Inn-Chau Chee, 1999. "Measuring international competitiveness: experience from East Asia," Applied Economics, Taylor & Francis Journals, vol. 31(11), pages 1383-1391.
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- Wing-Keung Wong & Raymond H. Chan, 2004.
"On the Estimation of Cost of Capital and its Reliability,"
Departmental Working Papers
wp0401, National University of Singapore, Department of Economics.
- Wing-keung Wong & Raymond Chan, 2004. "On the estimation of cost of capital and its reliability," Quantitative Finance, Taylor & Francis Journals, vol. 4(3), pages 365-372.
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