IDEAS home Printed from https://ideas.repec.org/h/spr/sptchp/978-3-319-32862-1_5.html
   My bibliography  Save this book chapter

Estimation of ARMA Models

In: Time Series Econometrics

Author

Listed:
  • Klaus Neusser

Abstract

The specification and estimation of an ARMA(p,q) model ARMA model estimation ARMA model identification for a given realization involves several intermingled steps. First one must determine the orders p and q. Given the orders one can then estimate the parameters ϕ j , $$\theta _{j}$$ and $$\sigma ^{2}$$ . Finally, the model has to pass several robustness checks in order to be accepted as a valid model. These checks may involve tests of parameter constancy, forecasting performance or tests for the inclusion of additional exogenous variables. This is usually an iterative process in which several models are examined. It is rarely the case that one model imposes itself. All too often, one is confronted in the modeling process with several trade-offs, like simple versus complex models or data fit versus forecasting performance. Finding the right balance among the different dimensions therefore requires some judgement based on experience.

Suggested Citation

  • Klaus Neusser, 2016. "Estimation of ARMA Models," Springer Texts in Business and Economics, in: Time Series Econometrics, chapter 5, pages 87-108, Springer.
  • Handle: RePEc:spr:sptchp:978-3-319-32862-1_5
    DOI: 10.1007/978-3-319-32862-1_5
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:sptchp:978-3-319-32862-1_5. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.