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The second derivative of the likelihood of an exact ARMA model

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  • van der Leeuw, J.L.

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  • van der Leeuw, J.L., 1994. "The second derivative of the likelihood of an exact ARMA model," Research Memorandum FEW 661, Tilburg University, School of Economics and Management.
    • Handle: RePEc:tiu:tiurem:04f52885-2820-4b2d-b1f0-b2c95e34933a
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    1. Magnus, Jan R., 1978. "Maximum likelihood estimation of the GLS model with unknown parameters in the disturbance covariance matrix," Journal of Econometrics, Elsevier, vol. 7(3), pages 281-312, April.
    2. Anderson, T. W. & Metz, R. P., 1993. "A note on maximum likelihood estimation in the first-order Gaussian moving average model," Statistics & Probability Letters, Elsevier, vol. 16(3), pages 205-211, February.
    3. van der Leeuw, J.L., 1993. "First order conditions for the maximum likelihood estimation of an exact ARMA model," Research Memorandum FEW 611, Tilburg University, School of Economics and Management.
    4. van der Leeuw, J.L., 1993. "First order conditions for the maximum likelihood estimation of an exact ARMA model," Other publications TiSEM 2296c5eb-adb8-471c-8408-6, Tilburg University, School of Economics and Management.
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    Keywords

    ARMA Models; econometrics;

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