Convenient Methods of Estimation of Linear Regression Models with MA( q) Disturbances.

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 with a simple detrimental result that facilitates the implementation of maximum likelihood estimation.

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Year of publication:	1996
Authors:	Choudhury, Askar H. ; Power, Simon ; Louis, Robert D. St
Published in:	Canadian Journal of Economics. - Canadian Economics Association - CEA. - Vol. 29.1996, 2, p. 309-17
Publisher:	Canadian Economics Association - CEA

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Type of publication:	Article
Notes:	Published
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005770289