Koreisha and Pukkila (1990a) have recently proposed a fast and efficient GLS estimator for the univariate ARMA time series model which appears to be far more robust than maximum likelihood methods and of comparable accuracy. The one drawback to this new estimator is that it requires use of the...

This note shows how G. M. MacDonald and J. G. MacKinnon's (1985) convenient methods of estimating the linear regression model with MA(1) disturbances may be readily extended to the case of higher-order moving average disturbances. This involves a development of the key transformation, together...

This paper provides simple computational procedures for the calculation of the correct estimated covariance ma trix and associated standard errors for a commonly used regression sh ortcut, whereby ridge-regression estimates are obtained via an augmen ted ordinary least squares regression....

This paper introduces an exact transformation matrix useful for estimating single equations from a rational expectations simultaneous model with MA(1) composite disturbances by means of instrumental variables techniques. An illustrative example is provided. Copyright 1990 by Blackwell Publishing Ltd