Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/62938
Authors: 
Kapetanios, George
Year of Publication: 
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

Files in This Item:
File
Size
160.59 kB





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