Consistency Properties of Least Squares Estimates of Autoregressive Parameters in ARMA Models
The Annals of StatisticsPublished 1 September 1983Open access
George C. Tiao, Ruey S. Tsay
Citations113
SJR quartileQ1
SJR score4.77
SNIP3.13
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Abstract
A unified treatment of the consistency properties of the ordinary least squares estimates in an autoregressive fitting of time series from nonstationary or stationary autoregressive moving average models is given. For a given model, the orders of autoregressions which produce consistent estimates are obtained and the limiting values, hence the biases, of the estimates of other autoregressions are investigated.
Keywords
MathematicsEconomics, Econometrics and Finance
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