Maximum Likelihood Estimation of Stochastic Linear Difference Equations with Autoregressive Moving Average Errors

Time Series Analysis: Forecasting and Control

1977 • 19,717 citations

The Statistical Analysis of Time Series.

1995 • 2,128 citations

Multiple time series

1970 • 1,885 citations

Maximum likelihood identification of Gaussian autoregressive moving average models

1973 • 1,183 citations

The Fitting of Time-Series Models

1960 • 1,043 citations

On the Statistical Treatment of Linear Stochastic Difference Equations

1943 • 782 citations

Martingale Central Limit Theorems

1971 • 709 citations

Numerical Identification of Linear Dynamic Systems from Normal Operating Records

1966 • 394 citations

EFFICIENT ESTIMATION OF PARAMETERS IN MOVING-AVERAGE MODELS

1959 • 370 citations

Maximum likelihood identification of stochastic linear systems

1970 • 229 citations

An efficient two-step estimator for the dynamic adjustment model with autoregressive errors

1974 • 217 citations

The Identification Problem for Multiple Equation Systems with Moving Average Errors

1971 • 194 citations

Asymptotic properties of least-squares estimates of parameters of the spectrum of a stationary non-deterministic time-series

1964 • 190 citations

The exact likelihood function for a mixed autoregressive-moving average process

1974 • 156 citations

On Limit Theorems for Quadratic Functions of Discrete Time Series

2010 • 134 citations

Lagged Dependent Variables and Serially Correlated Errors: A Reappraisal of Three-Pass Least Squares

1967 • 123 citations

The estimation of mixed moving average autoregressive systems

1969 • 112 citations

Generalized Least Squares with an Estimated Variance Covariance Matrix

1971 • 93 citations

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

1975 • 91 citations

Least squares estimation in dynamic-disturbance time series models

1972 • 84 citations

Maximum Likelihood Estimation of Moving Average Processes

1976 • 74 citations

Several efficient two-step estimators for the dynamic simultaneous equations model with autoregressive disturbances

1976 • 65 citations

A Compendium on Estimation of the Autoregressive Moving Average Model from the Series Data

1971 • 55 citations

The first-order moving average process

1974 • 52 citations

The Estimation of Mixed Regression, Autoregression, Moving Average, and Distributed Lag Models

1972 • 45 citations

Least Squares Variant of the Dhrymes Two-Step Estimation Procedure of the Distributed Lag Model

1969 • 36 citations

The Efficiency of the Two-Step Estimator

1972 • 36 citations

On the Asymptotic Properties of Some Two-Step Procedures for Estimating Distributed Lag Models

1972 • 34 citations

A comparison of moving average estimation procedures

1974 • 13 citations