New exact ML estimation and inference for a Gaussian MA(1) process

For a Gaussian MA(1) process, a new exact ML estimator is proposed that avoids the pile-up phenomenon (boundary estimates). Finite sample comparison is undertaken, along with Wald-type inference for an MA unit root or over-differencing (stationarity).

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Year of publication:	2008
Authors:	Vougas, Dimitrios V.
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 99.2008, 1, p. 172-176
Publisher:	Elsevier

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

Persistent link: https://www.econbiz.de/10005275866