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Finite sample properties of estimators for autoregressive moving average models

Citations

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Cited by:

  1. André Klein & Guy Melard & Toufik Zahaf, 1998. "Computation of the exact information matrix of Gaussian dynamic regression time series models," ULB Institutional Repository 2013/13738, ULB -- Universite Libre de Bruxelles.
  2. Petros Dellaportas & Aleksandar Mijatovi'c, 2014. "Arbitrage-free prediction of the implied volatility smile," Papers 1407.5528, arXiv.org.
  3. 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.
  4. 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.
  5. Pere, Pekka, 2000. "Adjusted estimates and Wald statistics for the AR(1) model with constant," Journal of Econometrics, Elsevier, vol. 98(2), pages 335-363, October.
  6. 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.
  7. Jia Li & Peter C. B. Phillips & Shuping Shi & Jun Yu, 2022. "Weak Identification of Long Memory with Implications for Inference," Economics and Statistics Working Papers 8-2022, Singapore Management University, School of Economics.
  8. Melard, Guy & Roy, Roch & Saidi, Abdessamad, 2006. "Exact maximum likelihood estimation of structured or unit root multivariate time series models," Computational Statistics & Data Analysis, Elsevier, vol. 50(11), pages 2958-2986, July.
  9. Cribari-Neto, Francisco, 1993. "The Cyclical Component in Brazilian GDP," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 13(1), April.
  10. Michael A. Hauser, 1998. "Maximum Likelihood Estimators for ARMA and ARFIMA Models: A Monte Carlo Study," Econometrics 9809001, University Library of Munich, Germany.
  11. Keith K.W. Chan & Toan M. Pham, 1990. "Models of Inflation Forecasts: Some Australian Evidence," Australian Journal of Management, Australian School of Business, vol. 15(1), pages 89-105, June.
  12. Yue Fang, 2005. "The Effect of the Estimation on Goodness‐of‐Fit Tests in Time Series Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(4), pages 527-541, July.
  13. Tatsuma Wada & Pierre Perron, 2005. "Trend and Cycles: A New Approach and Explanations of Some Old Puzzles," Computing in Economics and Finance 2005 252, Society for Computational Economics.
  14. 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.
  15. Eric Ghysels & Lynda Khalaf & Cosmé Vodounou, 2003. "Simulation Based Inference In Moving Average Models," Annals of Economics and Statistics, GENES, issue 69, pages 85-99.
  16. Hessler, Andrew, 2023. "Unobserved components model estimates of credit cycles: Tests and predictions," Journal of Financial Stability, Elsevier, vol. 66(C).
  17. Stephen R. Blough, 1994. "Near common factors and confidence regions for present value models," Working Papers 94-3, Federal Reserve Bank of Boston.
  18. Cribari-Neto, Francisco, 1996. "On time series econometrics," The Quarterly Review of Economics and Finance, Elsevier, vol. 36(Supplemen), pages 37-60.
  19. Kim, Chang-Jin & Kim, Jaeho, 2013. "The `Pile-up Problem' in Trend-Cycle Decomposition of Real GDP: Classical and Bayesian Perspectives," MPRA Paper 51118, University Library of Munich, Germany.
  20. John Y. Campbell & N. Gregory Mankiw, 1987. "Are Output Fluctuations Transitory?," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 102(4), pages 857-880.
  21. Alonso Fernández, Andrés Modesto & García-Martos, Carolina & Rodríguez, Julio & Sánchez, María Jesús, 2008. "Seasonal dynamic factor analysis and bootstrap inference : application to electricity market forecasting," DES - Working Papers. Statistics and Econometrics. WS ws081406, Universidad Carlos III de Madrid. Departamento de Estadística.
  22. José Alberto Mauricio Arias, 1993. "Exact Maximum Likelihood Estimation of Stationary Vector ARMA Models," Documentos de Trabajo del ICAE 9316, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  23. Mauricio, Jose Alberto, 2008. "Computing and using residuals in time series models," Computational Statistics & Data Analysis, Elsevier, vol. 52(3), pages 1746-1763, January.
  24. Mario G.R. Pagliacci & Constantin Anghelache & Alexandru Manole & Madalina Gabriela Anghel, 2016. "The Econometric Model for the Economic and Financial Analysis of Romanian International Trade," Romanian Statistical Review, Romanian Statistical Review, vol. 64(3), pages 53-66, September.
  25. Krishnan, R. & Sen, Kunal, 1995. "Measuring persistence in industrial output: The Indian case," Journal of Development Economics, Elsevier, vol. 48(1), pages 25-41, October.
  26. 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.
  27. Ai Deng & Pierre Perron, 2006. "A comparison of alternative asymptotic frameworks to analyse a structural change in a linear time trend," Econometrics Journal, Royal Economic Society, vol. 9(3), pages 423-447, November.
  28. Holt, Matthew T. & Brandt, Jon A., 1985. "Forecasting Hog Prices Using Time Series Analysis Of Residuals," 1985 Annual Meeting, August 4-7, Ames, Iowa 278558, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  29. Perla Subbaiah & George Xia, 2007. "Robustness of Inference for One-sample Problem with Correlated Observations," Journal of Applied Statistics, Taylor & Francis Journals, vol. 34(4), pages 471-486.
  30. Rajae Azrak & Guy Melard, 1998. "The exact quasi-likelihood of time dependent ARMA models," ULB Institutional Repository 2013/13740, ULB -- Universite Libre de Bruxelles.
  31. Corduas, Marcella & Piccolo, Domenico, 2008. "Time series clustering and classification by the autoregressive metric," Computational Statistics & Data Analysis, Elsevier, vol. 52(4), pages 1860-1872, January.
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