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...

This paper provides simple computational procedures for the calculation of the correct estimated covariance ma trix and associated standard errors for a commonly used regression sh ortcut, whereby ridge-regression estimates are obtained via an augmen ted ordinary least squares regression....