Convenient methods for estimation of linear regression models with MA(q) disturbances

Askar H. Choudhury; Simon Power; Robert St Louis

doi:10.2307/136291

Convenient methods for estimation of linear regression models with MA(q) disturbances

Askar H. Choudhury, Simon Power, Robert St Louis

Business, W. P. Carey School of (WPC)

Research output: Contribution to journal › Article › peer-review

1 Scopus citations

Abstract

This note shows how MacDonald and 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 with a simple determinantal result that facilitates the implementation of maximum likelihood estimation.

Original language	English (US)
Pages (from-to)	309-317
Number of pages	9
Journal	Canadian Journal of Economics
Volume	29
Issue number	2
DOIs	https://doi.org/10.2307/136291
State	Published - May 1996

ASJC Scopus subject areas

Economics and Econometrics

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abstract = "This note shows how MacDonald and 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 with a simple determinantal result that facilitates the implementation of maximum likelihood estimation.",

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AB - This note shows how MacDonald and 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 with a simple determinantal result that facilitates the implementation of maximum likelihood estimation.

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Convenient methods for estimation of linear regression models with MA(q) disturbances

Abstract

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