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A Monte Carlo study of autoregressive integrated moving average processes

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  • Dent, Warren
  • Min, An-Sik

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  • Dent, Warren & Min, An-Sik, 1978. "A Monte Carlo study of autoregressive integrated moving average processes," Journal of Econometrics, Elsevier, vol. 7(1), pages 23-55, February.
  • Handle: RePEc:eee:econom:v:7:y:1978:i:1:p:23-55
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    Cited by:

    1. Beach, Charles M. & Yeo, Stephen, 1979. "Exact Maximum Likelihood Estimation of Regression Equations with a General Stationary Auto-Regressive Disturbance," Queen's Institute for Economic Research Discussion Papers 275148, Queen's University - Department of Economics.
    2. 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.
    3. David Hamilton & Ka Ho Wu, 1995. "Confidence Regions For Parameters In The Ar(1) Model," Journal of Time Series Analysis, Wiley Blackwell, vol. 16(3), pages 249-265, May.
    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. Arslanturk, Yalcin & Balcilar, Mehmet & Ozdemir, Zeynel Abidin, 2011. "Time-varying linkages between tourism receipts and economic growth in a small open economy," Economic Modelling, Elsevier, vol. 28(1-2), pages 664-671, January.
    6. Mahmood, Talat, 1990. "Die Dynamik der Rentabilität als stochastischer Prozess: eine empirische Zeitreihenanalyse von ausgewählten deutschen und amerikanischen Unternehmen. Vom Fachbereich 20 Informatik der Technischen Univ," EconStor Books, ZBW - German National Library of Economics, number 112236.
    7. Stephen R. Blough, 1994. "Near common factors and confidence regions for present value models," Working Papers 94-3, Federal Reserve Bank of Boston.
    8. Heuts, R.M.J., 1978. "Portfolio models and time series analysis," Other publications TiSEM 48458631-edc8-42e9-8359-4, Tilburg University, School of Economics and Management.
    9. John McDonald, 1979. "A time series approach to forecasting Australian total live-births," Demography, Springer;Population Association of America (PAA), vol. 16(4), pages 575-601, November.

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