No. 467: A Note on an Iterative Least Squares Estimation Method for ARMA and VARMA Models
George Kapetanios ,
Queen Mary, University of London
November 1, 2002
In this note we suggest a new iterative least squares method for estimating scalar and vector ARMA models. A Monte Carlo study shows that the method has better small sample properties than existing least squares methods and compares favourably with maximum likelihood estimation as well.
J.E.L classification codes: C13, C22