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

Askar H. Choudhury, Robert St Louis

Research output: Contribution to journalArticle

5 Citations (Scopus)

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 languageEnglish (US)
Pages (from-to)399-406
Number of pages8
JournalJournal of Econometrics
Volume46
Issue number3
DOIs
StatePublished - 1990

Fingerprint

Moving Average Process
First-order
Estimator
Least Squares Regression
Ordinary Least Squares
Moving Average
Range of data
Moving average

ASJC Scopus subject areas

  • Economics and Econometrics
  • Finance
  • Statistics and Probability

Cite this

A note on Park and Heikes' (1983) modified approximate estimator for the first-order moving-average process. / Choudhury, Askar H.; St Louis, Robert.

In: Journal of Econometrics, Vol. 46, No. 3, 1990, p. 399-406.

Research output: Contribution to journalArticle

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