Abstract
Hannan (1975) showed that the initial estimates of the autoregressive parameters in an ARMA(p, q) model which were suggested by Box and Jenkins (1976, p. 499) are strongly consistent. In this note, the efficiency of this estimate in the ARMA(1, 1) model is examined.
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References
Box, G. E. P., and G. M. Jenkins (1976), Time Series Analysis, Forecasting and Control. San Francisco: Holden-Day.
Hannan, E. J. (1975), “The estimation of ARMA models”. Annals of Statistics 3, 975–981.
Lomnicki, Z. A., and S. K. Zarembra (1957), “On the estimation of autocorrelation in times series”. Annals of Mathematical Statistics 28, 140–158.
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© 1987 D. Reidel Publishing Company
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Kheoh, T.S., McLeod, A.I. (1987). On the Efficiency of a Strongly Consistent Estimator in ARMA Models. In: MacNeill, I.B., Umphrey, G.J., Carter, R.A.L., McLeod, A.I., Ullah, A. (eds) Time Series and Econometric Modelling. The University of Western Ontario Series in Philosophy of Science, vol 36. Springer, Dordrecht. https://doi.org/10.1007/978-94-009-4790-0_8
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DOI: https://doi.org/10.1007/978-94-009-4790-0_8
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