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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/10001835242

Forecasting economic time series with structural and Box-Jenkins models : a case study

Harvey, A. C.; Todd, P. H. J.; Ansley, Craig F. - In: Journal of business & economic statistics : JBES ; a … 1 (1983) 4, pp. 299-307

Persistent link: https://www.econbiz.de/10002835914

Special issue of Econometric theory in honor of Paul Newbold : guest editors' introduction

Leybourne, Stephen James; Taylor, Robert - In: Econometric theory 25 (2009) 6, pp. 1451-1456

Persistent link: https://www.econbiz.de/10003904365

Testing for linearity in a semiparametric regression model

Shively, Thomas S.; Kohn, Robert; Ansley, Craig F. - 1993

Persistent link: https://www.econbiz.de/10004227519

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