A Note on an Iterative Least Squares Estimation Method for ARMA and VARMA Models
University of London - Queen Mary College - Department of Economics
U of London Queen Mary Economics Working Paper No. 467
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, C22working papers series
Date posted: January 15, 2003
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