The Estimation and Use of Models with Moving Average Disturbance Terms: A Survey

Abstract

(1.1) ~ ~ ~ ~ yX,B + u where u has covariance matrix Q. Realizing that the estimation of the parameter vector ,B is difficult unless some restrictions are placed upon Q, econometricians have adopted a number of specialized formats that seemed to accord with published evidence on the nature of economic time series e.g., see Ames and Reiter [5]. Each of these corresponds to a procedure for generating u(t), by far the most popular being the first order Markov process