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The properties of some two step estimators of ARMA Models

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  • McKenzie, C.R.

Abstract

This paper analyzes the large sample properties of several two step estimators that have recently been suggested for estimating autoregressive moving-average models. As these estimators typically involve generated regressors, the generated regressor literature suggests that, in general, they will be inefficient and their estimated formula standard errors will be inconsistent estimates of the true standard errors. Deriving the covariance matrix of the true disturbances in these models enables consistent estimates of the true standard errors and efficient generalized least squares estimators to be computed.

Suggested Citation

  • McKenzie, C.R., 1997. "The properties of some two step estimators of ARMA Models," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 43(3), pages 451-456.
    • Handle: RePEc:eee:matcom:v:43:y:1997:i:3:p:451-456
    DOI: 10.1016/S0378-4754(97)00031-1
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    References listed on IDEAS

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    1. Sergio Koreisha & Tarmo Pukkila, 1989. "Fast Linear Estimation Methods For Vector Autoregressive Moving‐Average Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 10(4), pages 325-339, July.
    2. Adrian Pagan, 1986. "Two Stage and Related Estimators and Their Applications," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 53(4), pages 517-538.
    3. Colin McKenzie & Michael McAleer, 1997. "On Efficient Estimation and Correct Inference in Models with Generated Regressors: a General Approach," The Japanese Economic Review, Japanese Economic Association, vol. 48(4), pages 368-389, December.
    4. Pagan, Adrian, 1984. "Econometric Issues in the Analysis of Regressions with Generated Regressors," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 25(1), pages 221-247, February.
    5. Lewis, Richard & Reinsel, Gregory C., 1985. "Prediction of multivariate time series by autoregressive model fitting," Journal of Multivariate Analysis, Elsevier, vol. 16(3), pages 393-411, June.
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