A Note on an Iterative Least Squares Estimation Method for ARMA and VARMA Models

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.

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Year of publication:	2002-11
Authors:	Kapetanios, George
Institutions:	School of Economics and Finance, Queen Mary
Subject:	ARMA models

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 467
Classification:	C13 - Estimation ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005106438