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Finite sample properties of estimators for autoregressive moving average models

Ansley, Craig F.; Newbold, Paul - In: Journal of Econometrics 13 (1980) 2, pp. 159-183

Persistent link: https://www.econbiz.de/10005285410

Asymptotic distribution of residual autocorrelations from estimation of ARMA processes by Gram-Schmidt orthogonalization

Ansley, Craig F. - In: Stochastic Processes and their Applications 11 (1981) 2, pp. 201-206

One computationally efficient procedure for obtaining maximum likelihood parameter estimates for an ARMA process is based on the Gram-Schmidt orthogonalization of the space generated by the finite series of observations. This paper shows that the asymptotic distribution of the autocorrelations...

Persistent link: https://www.econbiz.de/10008875532

On the structure of moving average processes

Ansley, Craig F.; Spivey, W. Allen; Wrobleski, William J. - In: Journal of Econometrics 6 (1977) 1, pp. 121-134

Persistent link: https://www.econbiz.de/10005052867

Computing p-values for the generalized Durbin-Watson and other invariant test statistics

Ansley, Craig F.; Kohn, Robert; Shively, Thomas S. - In: Journal of Econometrics 54 (1992) 1-3, pp. 277-300

Persistent link: https://www.econbiz.de/10005238996

Testing for linearity in a semiparametric regression model

Shively, Thomas S.; Kohn, Robert; Ansley, Craig F. - In: Journal of Econometrics 64 (1994) 1-2, pp. 77-96

Persistent link: https://www.econbiz.de/10005192877

Adventures with ARIMA software

Newbold, Paul; Agiakloglou, Christos; Miller, John - In: International Journal of Forecasting 10 (1994) 4, pp. 573-581

Persistent link: https://www.econbiz.de/10005428742

The non-normality of some macroeconomic forecast errors

Harvey, David I.; Newbold, Paul - In: International Journal of Forecasting 19 (2003) 4, pp. 635-653

Persistent link: https://www.econbiz.de/10005428925

Testing the equality of prediction mean squared errors

Harvey, David; Leybourne, Stephen; Newbold, Paul - In: International Journal of Forecasting 13 (1997) 2, pp. 281-291

Persistent link: https://www.econbiz.de/10005428971

Combining forecasts to improve earnings per share prediction : An examination of electric utilities

Newbold, Paul; Zumwalt, J. Kenton; Kannan, Srinivasan - In: International Journal of Forecasting 3 (1987) 2, pp. 229-238

Persistent link: https://www.econbiz.de/10005429384

On exponential smoothing and the assumption of deterministic trend plus white noise data-generating models

Newbold, Paul; Bos, Ted - In: International Journal of Forecasting 5 (1989) 4, pp. 523-527

Persistent link: https://www.econbiz.de/10005429438