A Note on an Iterative Least Squares Estimation Method for ARMA and VARMA Models
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References listed on IDEAS
- Kenneth L. Judd, 1998. "Numerical Methods in Economics," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262100711, January.
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- 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.
- Christian Kascha, 2007. "A Comparison of Estimation Methods for Vector Autoregressive Moving-Average Models," Economics Working Papers ECO2007/12, European University Institute.
More about this item
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2002-12-02 (All new papers)
- NEP-ECM-2002-12-10 (Econometrics)
- NEP-ETS-2002-12-02 (Econometric Time Series)
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