A generalized least squares estimation method for Vector Moving Average Models.

  1. Flores de Frutos, Rafael
  2. Serrano García, Gregorio R.
Journal:
Documentos de Trabajo (ICAE)

ISSN: 2341-2356

Year of publication: 1996

Issue: 11

Pages: 1-9

Type: Working paper

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More publications in: Documentos de Trabajo (ICAE)

Abstract

A new GLS procedure for estimating VMA models is proposed. Its main feature is to consider explicitly the stochastic structure of the approximation errors arising when lagged VMA innovations are replaced with lagged residuals from a long VAR.

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