|
The Estimation of Mixed Regression, Autoregression, Moving Average, and Distributed Lag Models
E. J. Hannan
D. F. Nicholls
Abstract
In this paper a procedure is presented for the (asymptotically) efficient estimation of the parameters of autoregressive moving average models with exogenous variables. The estimation of distributed lag models is discussed as a particular case of models of this form. Finally a number of numerical examples are described.
|
