Econometrica

Journal Of The Econometric Society

An International Society for the Advancement of Economic
Theory in its Relation to Statistics and Mathematics

Edited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262

Home> Publications> Econometrica>The Estimation of Mixed Regression, Autoregression, Moving Average, and Distributed Lag Models

Econometrica: May, 1972, Volume 40, Issue 3

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

https://www.jstor.org/stable/1913183
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.

Institutional Access
Log In To View Full Content

Publications

Econometrica

Journal News

December 4, 2024

Update on 2025 Submission and Publication Page Fees at Econometric Society Journals

The Executive Committee of the Econometric Society has approved an increase in the submission fees for papers in Econometrica.  Starting January 1, 2025, the fee for new submissions to Econometrica will be US$125 for regular members and US$50 for student members.
View

Log In


Forgot your password?