EconStor >
Queen Mary, University of London >
School of Economics and Finance, Queen Mary, University of London  >
Working Paper Series, School of Economics and Finance, Queen Mary, University of London  >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/62938
  
Title:A note on an iterative least squares estimation method for ARMA and VARMA models PDF Logo
Authors:Kapetanios, George
Issue Date:2002
Series/Report no.:Working Paper, Department of Economics, Queen Mary, University of London 467
Abstract:In this note we suggest a new iterative least squares method for estimating scalar and vector ARMA models. A Monte Carlo study shows that the method has better small sample properties than existing least squares methods and compares favourably with maximum likelihood estimation as well.
Subjects:ARMA models
JEL:C13
C22
Document Type:Working Paper
Appears in Collections:Working Paper Series, School of Economics and Finance, Queen Mary, University of London

Files in This Item:
File Description SizeFormat
377027448.pdf160.59 kBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:http://hdl.handle.net/10419/62938

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.