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
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