CONVENIENT METHODS FOR ESTIMATION OF LINEAR-REGRESSION MODELS WITH MA(Q) DISTURBANCES

Authors
CHOUDHURY AH POWER S STLOUIS RD
Citation
Ah. Choudhury et al., CONVENIENT METHODS FOR ESTIMATION OF LINEAR-REGRESSION MODELS WITH MA(Q) DISTURBANCES, Canadian journal of economics, 29(2), 1996, pp. 309-317
Citations number
13
Categorie Soggetti
Economics
Journal title
Canadian journal of economics → ACNP
ISSN journal
00084085
Volume
29
Issue
2
Year of publication
1996
Pages
309 - 317
Database
ISI
SICI code
0008-4085(1996)29:2<309:CMFEOL>2.0.ZU;2-R
Abstract
This note shows how MacDonald and MacKinnon's (1985) convenient method s of estimating the linear regression model with MA(1) disturbances ma y be readily extended to the case of higher-order moving average distu rbances. This involves a development of the key transformation, togeth er with a simple determinantal result that facilitates the implementat ion of maximum likelihood estimation.