A compact analytical representation of the asymptotic covariance matrix, in terms of model parameters directly, of the quasi maximum likelihood estimator (QMLE) is derived in ARMA models with possible non-zero means and non-Gaussian error terms. For model parameters excluding the error variance,...

We develop analytical results on the second-order bias and mean squared error of estimators in time-series models. These results provide a unified approach to developing the properties of a large class of estimators in linear and nonlinear time-series models and they are valid for both normal...