Included are the procedure semiparma.g along with a file semiparma.rdme
which
discusses installation and the estimation procedure. Procedure
semiparma.g is the main
procedure to call to estimate parameters of linear
regression model with ARMA
errors. The main reference is Douglas Hodgson
(1998), “Semiparametric Efficient
Estimation in Time Series Regression”, University
of Rochester Manuscript.
Procedure computes semiparametric estimates of
parameters of linear regression
model with ARMA errors in which the innovations
to the ARMA process is
stationary and ergodic martingale difference
sequence that is also 1st order Markov
process. Conditional density g(e(t)|e(t-1)) is
assumed to be symmetric. The
semiparametric efficiency bound is also reported.
Download in Text format: download
wald.g
download
readme file