I derive the finite-sample bias of the conditional Gaussian maximum likelihood estimator in ARMA models when the error follows some unknown nonnormal distribution. The general procedure relies on writing down the score function and its higher-order derivative matrices in terms of quadratic forms...

A compact analytical representation of the asymptotic covariance matrix, in terms of model parameters directly, of the quasi maximum likelihood estimator (QMLE) is derived in ARMA models with possible non-zero means and non-Gaussian error terms. For model parameters excluding the error variance,...