Certain Aspects of Generalized Box-Jenkins Models / Richard W. Hill.

By:

Hill, Richard W

Contributor(s):

National Bureau of Economic Research

Material type: Text

TextSeries: Working Paper Series (National Bureau of Economic Research) ; no. w0082.Publication details: Cambridge, Mass. National Bureau of Economic Research 1975.Description: 1 online resource: illustrations (black and white)Online resources:

Available additional physical forms:

Hardcopy version available to institutional subscribers

Abstract: We define a class of models that are generalizations of regression models and moving average-autoregressive time series models. Then we investigate the asymptotic and computational properties of the maximum likelihood estimator, with numerical examples. The main conclusion is that care must be exercised when using simple approximations to the covariance matrix of the estimates.

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Item type	Home library	Collection	Call number	Status	Date due	Barcode	Item holds
Working Paper	Biblioteca Digital	Colección NBER	nber w0082 (Browse shelf(Opens below))	Not For Loan

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Previous	nber w0079 The Consumer Expenditure Function /	nber w0080 Inequality: Earnings vs. Human Wealth /	nber w0081 The Parental Bequest to Children /	nber w0082 Certain Aspects of Generalized Box-Jenkins Models /	nber w0083 Robust Line Estimation With Errors in Both Variables /	nber w0084 A Comparison of Two Simple Methods for Obtaining Robust Confidence Intervals /	nber w0085 On the Identification of Time Varying Structures /	Next

May 1975.

We define a class of models that are generalizations of regression models and moving average-autoregressive time series models. Then we investigate the asymptotic and computational properties of the maximum likelihood estimator, with numerical examples. The main conclusion is that care must be exercised when using simple approximations to the covariance matrix of the estimates.