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)
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- Wing-Keung Wong & Guorui Bian, 2004.
"Estimating Parameters in Autoregressive Models with Asymmetric Innovations,"
Departmental Working Papers
wp0408, National University of Singapore, Department of Economics.
- Wong, Wing-Keung & Bian, Guorui, 2005. "Estimating parameters in autoregressive models with asymmetric innovations," Statistics & Probability Letters, Elsevier, vol. 71(1), pages 61-70, January.
- 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.
- Wong, Wing-Keung & Li, Chi-Kwong, 1999. "A note on convex stochastic dominance," Economics Letters, Elsevier, vol. 62(3), pages 293-300, March.
- 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 and Francis Journals, vol. 4(3), pages 365-372.
- Wing-Keung Wong & Boon-Kiat Chew & Douglas Sikorski, 2002. "Can the Forecasts Generated from E/P Ratio and Bond Yield be Used to Beat Stock Markets?," Departmental Working Papers wp0201, National University of Singapore, Department of Economics.
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