Galbraith, John; Ullah, Aman; Zinde-Walsh, Victoria - In: Econometric Reviews 21 (2002) 2, pp. 205-219
We examine a simple estimator for the multivariate moving average model based on vector autoregressive approximation. In finite samples the estimator has a bias which is low where roots of the characteristic equation are well away from the unit circle, and more substantial where one or more...