A note on Park and Heikes' (1983) modified approximate estimator for the first-order moving-average process

A note on Park and Heikes' (1983) modified approximate estimator for the first-order moving-average process

This paper extends the approximate transformation procedure developed by Park and Heikes (1983). The extended procedure is appropriate for a moving-average process of any order, and can be used by anyone who has an ordinary least-squares regression package. For a wide range of moving-average paramet...

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Veröffentlicht in:Journal of econometrics 1990-12, Vol.46 (3), p.399-406
Hauptverfasser: Choudhury, Askar H., St. Louis, Robert D.
Format: Artikel
Sprache:eng
Schlagworte:
Applied sciences
Econometric models
Econometrics
Economic models
Economic theory
Efficiency
Estimating techniques
Exact sciences and technology
Mathematical analysis
Mathematical models
Operational research and scientific management
Operational research. Management science
Regression analysis
Studies
Variance analysis
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Beschreibung
Zusammenfassung:This paper extends the approximate transformation procedure developed by Park and Heikes (1983). The extended procedure is appropriate for a moving-average process of any order, and can be used by anyone who has an ordinary least-squares regression package. For a wide range of moving-average parameters, the estimators produced by the procedure are shown to be nearly as efficient as exact-transformation GLS estimators.
ISSN:0304-4076
1872-6895
DOI:10.1016/0304-4076(90)90017-N