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.
ASJC Scopus subject areas
- Economics and Econometrics