A note on Park and Heikes' (1983) modified approximate estimator for the first-order moving-average process

Askar H. Choudhury; Robert St Louis

doi:10.1016/0304-4076(90)90017-N

A note on Park and Heikes' (1983) modified approximate estimator for the first-order moving-average process

Askar H. Choudhury, Robert St Louis

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Abstract

This paper extends the approximate transformation procedure developed by Park and Heikes (1983). The extended procedure is appropriate for a moving-average process of any order, and can be used by anyone who has an ordinary least-squares regression package. For a wide range of moving-average parameters, the estimators produced by the procedure are shown to be nearly as efficient as exact-transformation GLS estimators.

Original language	English (US)
Pages (from-to)	399-406
Number of pages	8
Journal	Journal of Econometrics
Volume	46
Issue number	3
DOIs	https://doi.org/10.1016/0304-4076(90)90017-N
State	Published - Dec 1990

ASJC Scopus subject areas

Economics and Econometrics

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10.1016/0304-4076(90)90017-N

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abstract = "This paper extends the approximate transformation procedure developed by Park and Heikes (1983). The extended procedure is appropriate for a moving-average process of any order, and can be used by anyone who has an ordinary least-squares regression package. For a wide range of moving-average parameters, the estimators produced by the procedure are shown to be nearly as efficient as exact-transformation GLS estimators.",

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N2 - This paper extends the approximate transformation procedure developed by Park and Heikes (1983). The extended procedure is appropriate for a moving-average process of any order, and can be used by anyone who has an ordinary least-squares regression package. For a wide range of moving-average parameters, the estimators produced by the procedure are shown to be nearly as efficient as exact-transformation GLS estimators.

AB - This paper extends the approximate transformation procedure developed by Park and Heikes (1983). The extended procedure is appropriate for a moving-average process of any order, and can be used by anyone who has an ordinary least-squares regression package. For a wide range of moving-average parameters, the estimators produced by the procedure are shown to be nearly as efficient as exact-transformation GLS estimators.

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A note on Park and Heikes' (1983) modified approximate estimator for the first-order moving-average process

Abstract

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