The econometric data to which autoregressive moving-average models are commonly applied are liable to contain elements from a limited range of frequencies. If the data do not cover the full Nyquist frequency range of [0,π] radians, then severe biases can occur in estimating their parameters....

The econometric data to which autoregressive moving-average models are commonly applied are liable to contain elements from a limited range of frequencies. If the data do not cover the full Nyquist frequency range of [0,π] radians, then severe biases can occur in estimating their parameters. The...