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A study of estimation procedures for time series models in economics

Pagan, Adrian

Description

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]

CollectionsOpen Access Theses
Date published: 1972
Type: Thesis (PhD)
URI: http://hdl.handle.net/1885/117169
DOI: 10.25911/5d723e152f6fc

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b10142848_Pagan_Adrian_Rodney_Vol1. pdf23.55 MBAdobe PDFThumbnail
b10142848_Pagan_Adrian_Rodney_Vol2.pdf7.32 MBAdobe PDFThumbnail


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