Exact Maximum Likelihood Estimation of Regression Models with Finite Order Moving Average Errors

A. R. Pagan; D. F. Nicholls

doi:10.2307/2297215

Exact Maximum Likelihood Estimation of Regression Models with Finite Order Moving Average Errors

The Review of Economic Studies ◽

10.2307/2297215 ◽

1976 ◽

Vol 43 (3) ◽

pp. 383 ◽

Cited By ~ 13

Author(s):

A. R. Pagan ◽

D. F. Nicholls

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Finite Order ◽

Regression Models ◽

Moving Average ◽

Likelihood Estimation ◽

Exact Maximum Likelihood ◽

Moving Average Errors

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A NOTE ON THE MAXIMUM LIKELIHOOD ESTIMATION OF REGRESSION MODELS WITH FIRST ORDER MOVING AVERAGE ERRORS WITH ROOTS ON THE UNIT CIRCLE

Australian Journal of Statistics ◽

10.1111/j.1467-842x.1983.tb01215.x ◽

1983 ◽

Vol 25 (3) ◽

pp. 442-448 ◽

Cited By ~ 7

Author(s):

M. H. Pesaran

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Unit Circle ◽

Regression Models ◽

Moving Average ◽

Likelihood Estimation ◽

First Order ◽

Moving Average Errors

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Maximum Likelihood Estimation of Regression Models with First Order Moving Average Errors when the Root Lies on the Unit Circle

Econometrica ◽

10.2307/1912159 ◽

1983 ◽

Vol 51 (3) ◽

pp. 799 ◽

Cited By ~ 73

Author(s):

J. D. Sargan ◽

Alok Bhargava

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Unit Circle ◽

Regression Models ◽

Moving Average ◽

Likelihood Estimation ◽

First Order ◽

Moving Average Errors

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Iterative Procedures for Exact Maximum Likelihood Estimation in the First-Order Gaussian Moving Average Model

10.21236/ada230812 ◽

1990 ◽

Author(s):

T. W. Anderson ◽

R. P. Mentz

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Moving Average ◽

Likelihood Estimation ◽

Average Model ◽

First Order ◽

Moving Average Model ◽

Iterative Procedures ◽

Exact Maximum Likelihood

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Algorithm AS 154: An Algorithm for Exact Maximum Likelihood Estimation of Autoregressive-Moving Average Models by Means of Kalman Filtering

Journal of the Royal Statistical Society Series C (Applied Statistics) ◽

10.2307/2346910 ◽

1980 ◽

Vol 29 (3) ◽

pp. 311 ◽

Cited By ~ 103

Author(s):

G. Gardner ◽

A. C. Harvey ◽

G. D. A. Phillips

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Kalman Filtering ◽

Moving Average ◽

Likelihood Estimation ◽

Autoregressive Moving Average ◽

Moving Average Models ◽

Exact Maximum Likelihood ◽

Autoregressive Moving Average Models

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Maximum Likelihood Estimation of Difference Equations with Moving Average Errors: A Simulation Study

The Review of Economic Studies ◽

10.2307/2296866 ◽

1972 ◽

Vol 39 (2) ◽

pp. 117 ◽

Cited By ~ 37

Author(s):

D. F. Hendry ◽

P. K. Trivedi

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Difference Equations ◽

Simulation Study ◽

Moving Average ◽

Likelihood Estimation ◽

Moving Average Errors

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Maximum Likelihood Estimation of Regression Models with Autoregressive- Moving Average Disturbances

Biometrika ◽

10.2307/2335241 ◽

1979 ◽

Vol 66 (1) ◽

pp. 49 ◽

Cited By ~ 2

Author(s):

A. C. Harvey ◽

G. D. A. Phillips

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Regression Models ◽

Moving Average ◽

Likelihood Estimation ◽

Autoregressive Moving Average

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Maximum likelihood estimation of regression models with autoregressive-moving average disturbances

Biometrika ◽

10.1093/biomet/66.1.49 ◽

1979 ◽

Vol 66 (1) ◽

pp. 49-58 ◽

Cited By ~ 4

Author(s):

A. C. HARVEY ◽

G. D. A. PHILLIPS

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Regression Models ◽

Moving Average ◽

Likelihood Estimation ◽

Autoregressive Moving Average

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Exact Maximum Likelihood Estimation of a Regression Equation with a First-Order Moving-Average Error

The Review of Economic Studies ◽

10.2307/2296586 ◽

1973 ◽

Vol 40 (4) ◽

pp. 529-535 ◽

Cited By ~ 27

Author(s):

M. H. Pesaran

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Moving Average ◽

Likelihood Estimation ◽

Regression Equation ◽

Average Error ◽

First Order ◽

Exact Maximum Likelihood

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Maximum Likelihood Estimation of Stochastic Linear Difference Equations with Autoregressive Moving Average Errors

Econometrica ◽

10.2307/1912351 ◽

1979 ◽

Vol 47 (1) ◽

pp. 129 ◽

Cited By ~ 10

Author(s):

Greg Reinsel

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Difference Equations ◽

Moving Average ◽

Likelihood Estimation ◽

Autoregressive Moving Average ◽

Linear Difference Equations ◽

Moving Average Errors

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Exact Maximum Likelihood Estimation of an ARMA(1, 1) Model with Incomplete Data

Journal of Time Series Analysis ◽

10.1111/1467-9892.01639 ◽

2002 ◽

Vol 23 (1) ◽

pp. 49-56

Author(s):

CHUNSHENG MA

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Incomplete Data ◽

Likelihood Estimation ◽

Exact Maximum Likelihood

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