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  

George Kapetanios

University of London - Queen Mary College - Department of Economics

Date Written: November 2002

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.

Keywords: ARMA Models

JEL Classification: C13, C22

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: https://ssrn.com/abstract=358287 or http://dx.doi.org/10.2139/ssrn.358287

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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