Econometrica: May 1972, Volume 40, Issue 3

The Estimation of Mixed Regression, Autoregression, Moving Average, and Distributed Lag Models

https://doi.org/0012-9682(197205)40:3<529:TEOMRA>2.0.CO;2-O
p. 529-547

D. F. Nicholls, E. J. Hannan

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.

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