School of Economics and Finance

No. 467: A Note on an Iterative Least Squares Estimation Method for ARMA and VARMA Models

George Kapetanios , Queen Mary, University of London

November 1, 2002

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In this note we suggest a new iterative least squares method for estimating scalar and vector ARMA models. A Monte Carlo study shows that the method has better small sample properties than existing least squares methods and compares favourably with maximum likelihood estimation as well.

J.E.L classification codes: C13, C22

Keywords:ARMA models