Pagan, Adrian Rodney
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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