Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/189055 
Year of Publication: 
1972
Series/Report no.: 
Queen's Economics Department Working Paper No. 70
Publisher: 
Queen's University, Department of Economics, Kingston (Ontario)
Abstract: 
The errors in the linear models which are used so widely by economists may be generated by mixed moving-average autoregressive processes. If errors on an aggregative equation are generated by a mixed moving-average autoregressive process and the weights of the moving-average component of this process are known, then the least-squares procedure can yield consistent estimators of both signal and autoregressive parameters if two adjustments are made to the equation. The autoregressive transformation is combined with pre-multiplication by a Moore-Penrose inverse based on the known weights of the moving-average component.
Document Type: 
Working Paper

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