Arbeitspapier
Known Moving-Average Transformations and Autoregressive Processes
The errors in the linear models which are used so widely by economists may be generated by mixed moving-average autoregressive processes. If errors on an aggregative equation are generated by a mixed moving-average autoregressive process and the weights of the moving-average component of this process are known, then the least-squares procedure can yield consistent estimators of both signal and autoregressive parameters if two adjustments are made to the equation. The autoregressive transformation is combined with pre-multiplication by a Moore-Penrose inverse based on the known weights of the moving-average component.
- Sprache
-
Englisch
- Erschienen in
-
Series: Queen's Economics Department Working Paper ; No. 70
- Klassifikation
-
Wirtschaft
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Rowley, J.C.R.
Wilton, D.A.
- Ereignis
-
Veröffentlichung
- (wer)
-
Queen's University, Department of Economics
- (wo)
-
Kingston (Ontario)
- (wann)
-
1972
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Rowley, J.C.R.
- Wilton, D.A.
- Queen's University, Department of Economics
Entstanden
- 1972
Ähnliche Objekte (12)
Time frequency autoregressive moving average modeling
Spatial autoregressive fractionally integrated moving average model
Bootstrap for continuous-time autoregressive moving average processes
Moving-Average Transformations in Classical Linear Models
Estimation of Cointegrated Multivariate Continuous-Time Autoregressive Moving Average Processes
Persistence exponents via perturbation theory : autoregressive and moving average processes
Adaptive Online Learning for the Autoregressive Integrated Moving Average Models
Heteroskedasticity of unknown form in spatial autoregressive models with a moving average disturbance term
Univariate autoregressive Moving-Average-Prozesse und die Anwendung der Box-Jenkins-Technik in der Zeitreihenanalyse
A smoothing test under first-order autoregressive processes and a first-order moving-average correction
Moving Sum versus Exponentially Weighted Moving Average Tests
Comparing tests of autoregressive versus moving average errors in regression models using Bahadur's asymptotic relative efficiency
Time frequency autoregressive moving average modeling
Spatial autoregressive fractionally integrated moving average model
Bootstrap for continuous-time autoregressive moving average processes
Moving-Average Transformations in Classical Linear Models
Estimation of Cointegrated Multivariate Continuous-Time Autoregressive Moving Average Processes
Persistence exponents via perturbation theory : autoregressive and moving average processes
Adaptive Online Learning for the Autoregressive Integrated Moving Average Models
Heteroskedasticity of unknown form in spatial autoregressive models with a moving average disturbance term
Univariate autoregressive Moving-Average-Prozesse und die Anwendung der Box-Jenkins-Technik in der Zeitreihenanalyse
A smoothing test under first-order autoregressive processes and a first-order moving-average correction
Moving Sum versus Exponentially Weighted Moving Average Tests
Comparing tests of autoregressive versus moving average errors in regression models using Bahadur's asymptotic relative efficiency
Time frequency autoregressive moving average modeling
Spatial autoregressive fractionally integrated moving average model
Bootstrap for continuous-time autoregressive moving average processes
Moving-Average Transformations in Classical Linear Models
Estimation of Cointegrated Multivariate Continuous-Time Autoregressive Moving Average Processes
Persistence exponents via perturbation theory : autoregressive and moving average processes
Adaptive Online Learning for the Autoregressive Integrated Moving Average Models
Heteroskedasticity of unknown form in spatial autoregressive models with a moving average disturbance term
Univariate autoregressive Moving-Average-Prozesse und die Anwendung der Box-Jenkins-Technik in der Zeitreihenanalyse
A smoothing test under first-order autoregressive processes and a first-order moving-average correction
Moving Sum versus Exponentially Weighted Moving Average Tests