The properties of some two step estimators of ARMA Models

Research output: Contribution to journalArticle

2 Citations (Scopus)

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.

Original languageEnglish
Pages (from-to)451-456
Number of pages6
JournalMathematics and Computers in Simulation
Volume43
Issue number3-6
Publication statusPublished - 1997 Mar
Externally publishedYes

Fingerprint

ARMA Model
Standard error
Estimator
Generalized Least Squares Estimator
Autoregressive Moving Average Model
Consistent Estimates
Covariance matrix
Inconsistent
Disturbance
Estimate
Two-step estimator
ARMA model
Generated regressors
Model

ASJC Scopus subject areas

  • Information Systems and Management
  • Control and Systems Engineering
  • Applied Mathematics
  • Computational Mathematics
  • Modelling and Simulation

Cite this

The properties of some two step estimators of ARMA Models. / Mckenzie, Colin R.

In: Mathematics and Computers in Simulation, Vol. 43, No. 3-6, 03.1997, p. 451-456.

Research output: Contribution to journalArticle

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