For a stationary autoregressive process of order p and disturbance variance [sigma]2 it is shown that the determinant of the covariance of T (=p) consecutive random variables of the process is ([sigma]2)T [Pi]i,j=1p (1 - wiwj)-1, where w1, ..., wp are the roots of the associated polynomial...

We compare four different estimation methods for the coefficients of a linear structural equation with instrumental variables. As the classical methods we consider the limited information maximum likelihood (LIML) estimator and the two-stage least squares (TSLS) estimator, and as the...

The likelihoood function of the Gaussian MA(1) zero-mean can be expressed in terms of the variance of the process and the first-order autocorrelation or alternatively in terms of the variance of the unobservable independent normal random variables and the moving average coefficient. The...