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
Authors:	Kapetanios, George
Publisher:	London : Queen Mary University of London, Department of Economics
Subject:	Theorie \| ARMA-Modell \| ARMA models

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Series:	Working Paper ; 467
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	377027448 [GVK] hdl:10419/62938 [Handle]
Classification:	C13 - Estimation ; C22 - Time-Series Models
Source:	EconStor

Persistent link: https://www.econbiz.de/10010284227