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

M. H. Pesaran

doi:10.2307/2296586

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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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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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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A note on maximum likelihood estimation in the first-order Gaussian moving average model

Statistics & Probability Letters ◽

10.1016/0167-7152(93)90144-8 ◽

1993 ◽

Vol 16 (3) ◽

pp. 205-211 ◽

Cited By ~ 2

Author(s):

T.W. Anderson ◽

R.P. Metz

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Moving Average ◽

Likelihood Estimation ◽

Average Model ◽

First Order ◽

Moving Average Model

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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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Modified Maximum Likelihood Estimation in First-Order Autoregressive Moving Average Models with some Non-Normal Residuals

Journal of the Iranian Statistical Society ◽

10.52547/jirss.19.2.33 ◽

2020 ◽

Vol 19 (2) ◽

pp. 33-66

Author(s):

Maryam Kasraie ◽

Abdolreza Sayyareh ◽

◽

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Moving Average ◽

Likelihood Estimation ◽

Autoregressive Moving Average ◽

First Order ◽

Modified Maximum Likelihood ◽

Moving Average Models ◽

Autoregressive Moving Average Models

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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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Maximum Likelihood Estimation and Unit Root Test for First Order Random Coefficient AutoRegressive Models

Journal of Statistical Theory and Practice ◽

10.1080/15598608.2010.10411985 ◽

2010 ◽

Vol 4 (2) ◽

pp. 261-278 ◽

Cited By ~ 1

Author(s):

Dazhe Wang ◽

Sujit K. Ghosh ◽

Sastry G. Pantula

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Unit Root ◽

Unit Root Test ◽

Likelihood Estimation ◽

Random Coefficient ◽

Autoregressive Models ◽

First Order ◽

Random Coefficient Autoregressive

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Maximum Likelihood Estimation for Vector Autoregressive Moving Average Models

10.21236/ada060867 ◽

1978 ◽

Cited By ~ 2

Author(s):

Theodore W. Anderson

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Moving Average ◽

Likelihood Estimation ◽

Autoregressive Moving Average ◽

Vector Autoregressive ◽

Moving Average Models ◽

Vector Autoregressive Moving Average ◽

Autoregressive Moving Average Models

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