Econometrica Vol. 40 No. 3 1972
The Estimation of Mixed Regression, Autoregression, Moving Average, and Distributed Lag Models
Abstract
[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.]
- DOI
- 10.2307/1913183
- Volume
- 40
- Issue
- 3
- Pages
- 529
- Sources
- bibtex:phds-export.bib crossref openalex