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Problems with the estimation of moving average processes

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  • Davidson, James E. H.

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  • Davidson, James E. H., 1981. "Problems with the estimation of moving average processes," Journal of Econometrics, Elsevier, vol. 16(3), pages 295-310, August.
  • Handle: RePEc:eee:econom:v:16:y:1981:i:3:p:295-310
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    Cited by:

    1. 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.
    2. 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.
    3. John Y. Campbell & N. Gregory Mankiw, 1987. "Are Output Fluctuations Transitory?," The Quarterly Journal of Economics, Oxford University Press, vol. 102(4), pages 857-880.
    4. 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.
    5. 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.
    6. Cush Ngonzo Luwesi & Joy Apiyo Obando & Chris Allan Shisanya, 2017. "The Impact of a Warming Micro‚ÄźClimate on Muooni Farmers of Kenya," Agriculture, MDPI, Open Access Journal, vol. 7(3), pages 1-21, March.
    7. Pollock, D.S.G., 1991. "On the criterion function for arma estimation," Serie Research Memoranda 0074, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    8. 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.
    9. Kascha, Christian & Mertens, Karel, 2009. "Business cycle analysis and VARMA models," Journal of Economic Dynamics and Control, Elsevier, vol. 33(2), pages 267-282, February.
    10. Yamane, Linus, 1998. "The insider-outsider model and Japanese labor unions," Japan and the World Economy, Elsevier, vol. 10(2), pages 157-171, April.

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