Linear relations in time series models. II

In this paper an asymptotic theory is developed for a new time series model which was introduced in a previous paper [5]. An algorithm for computing estimates of the parameters of this time series model is given, and it is shown that these estimators are asymptotically efficient in the sense that they have the same asymptotic distribution as the maximum likelihood estimators.

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Year of publication:	1976
Authors:	Villegas, C. ; Rennie, Robert R.
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 6.1976, 1, p. 46-64
Publisher:	Elsevier
Keywords:	Multiple time series Maximum likelihood estimation

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

Persistent link: https://www.econbiz.de/10005221540