Title

Exact Maximum Likelihood Estimation of Vector Arma Processes

Publication Type

Book Chapter

Publication Date

1989

Abstract

The problems of evaluating and subsequently maximizing the exact likelihood function of vector autoregressive moving average (ARMA) models are considered separately. A new and efficient procedure for evaluating the exact likelihood function is presented. This method puts together a set of useful features that can only be found separately in currently available algorithms. A procedure for maximizing the exact likelihood function, which takes full advantage of the properties offered by the evaluation algorithm, is also considered. Combining these two procedures, a new algorithm for exact maximum likelihood estimation of vector ARMA models is obtained. Comparisons with existing procedures, in terms of both analytical arguments and a numerical example, are given to show that the new estimation algorithm performs at least as well as existing ones, and that relevant real situations occur in which it does better.

Discipline

Economics

Research Areas

Econometrics

Publication

Advances in statistical analysis and statistical computing

Volume

2

First Page

71

Last Page

84

ISBN

9780892328260

Publisher

JAI Press

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