Abstract

http://ssrn.com/abstract=358287
 
 

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A Note on an Iterative Least Squares Estimation Method for ARMA and VARMA Models


George Kapetanios


University of London - Queen Mary College - Department of Economics

November 2002

U of London Queen Mary Economics Working Paper No. 467

Abstract:     
In this note we suggest a new iterative least squares method for estimating scalar and vector ARMA models. A Monte Carlo study shows that the method has better small sample properties than existing least squares methods and compares favourably with maximum likelihood estimation as well.

Number of Pages in PDF File: 14

Keywords: ARMA Models

JEL Classification: C13, C22

working papers series


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Date posted: January 15, 2003  

Suggested Citation

Kapetanios, George, A Note on an Iterative Least Squares Estimation Method for ARMA and VARMA Models (November 2002). U of London Queen Mary Economics Working Paper No. 467. Available at SSRN: http://ssrn.com/abstract=358287 or http://dx.doi.org/10.2139/ssrn.358287

Contact Information

George Kapetanios (Contact Author)
University of London - Queen Mary College - Department of Economics ( email )
Mile End Road
London, E1 4NS
United Kingdom
+44 20 7882 5097 (Phone)
HOME PAGE: http://www.qmul.ac.uk/%7Etew021/
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