A Note on an Iterative Least Squares Estimation Method for Arma and Varma Models
U of London Queen Mary Economics Working Paper No. 467
14 Pages Posted: 15 Jan 2003
Date Written: November 2002
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.
Keywords: ARMA Models
JEL Classification: C13, C22
Suggested Citation: Suggested Citation