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Estimating parameters in autoregressive models in non-normal situations: symmetric innovations |
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| Authors: | Moti L Tiku Wing-Keung Wong Guorui Bian |
| Institution: | 1. Department of Mathematics and Statistics , McMaster University , ON L8S 4K1, Hamilton , Canada;2. Department of Mathematics , Wilfrid Laurier University , N2L 3C5, Waterloo , Canada;3. Department of Economics and Statistics , National University of Singapore , 119 260 , Singapore |
| Abstract: | The estimation of coefficients in a simple regression model with autocorrelated errors is considered. The underlying distribution is assumed to be symmetric, one of Student's t family for illustration. Closed form estimators are obtained and shown to be remarkably efficient and robust. Skew distributions will be considered in a future paper. |
| Keywords: | Autoregression nonnormality maximum likelihood modified maximum likelihood least squares robustness Student's t |