Abstract
A large number of methods have been developed for estimating time-series regression parameters. Students and practitioners have a difficult time understanding what these various methods are, let alone picking the most appropriate one for their application. This article explains how these methods are related. A chronology for the development of the various methods is presented, followed by a logical characterization of the methods. An examination of current computational techniques and computing power leads to the conclusion that exact maximum likelihood estimators should be used in almost all cases where regression models have autoregressive, moving average, or mixed autoregressive-moving average error structures.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.