A study of estimation procedures for time series models in economics
The thesis is concerned with the formulation and estimation of the autoregressive-moving average (ARMA) model, and its application to econometrics. Chapter 1 considers the origin of ARMA models and provides a discussion on the loss of optimal properties by a number of estimators under such a specification. Having established an a fortiori case for the ARMA model in economics, Chapter 2 derives the likelihood function in both the frequency and time domains, and outlines computational...[Show more]
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|b10142848_Pagan_Adrian_Rodney_Vol1. pdf||23.55 MB||Adobe PDF|
|b10142848_Pagan_Adrian_Rodney_Vol2.pdf||7.32 MB||Adobe PDF|
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