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.
MLA
Nicholls, D. F., and E. J. Hannan. “The Estimation of Mixed Regression, Autoregression, Moving Average, and Distributed Lag Models.” Econometrica, vol. 40, .no 3, Econometric Society, 1972, pp. 529-547, https://www.jstor.org/stable/1913183
Chicago
Nicholls, D. F., and E. J. Hannan. “The Estimation of Mixed Regression, Autoregression, Moving Average, and Distributed Lag Models.” Econometrica, 40, .no 3, (Econometric Society: 1972), 529-547. https://www.jstor.org/stable/1913183
APA
Nicholls, D. F., & Hannan, E. J. (1972). The Estimation of Mixed Regression, Autoregression, Moving Average, and Distributed Lag Models. Econometrica, 40(3), 529-547. https://www.jstor.org/stable/1913183
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