Moments of OLS estimators in an autoregressive moving average model with explanatory variables |
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| Affiliation: | 1. College of Computer and Information, Hohai University, Nanjing 210024, PR China;2. School of Computer and Information, Anqing Normal University, Anqing 246133, PR China |
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| Abstract: | In this paper we derive the moments of the ordinary least squares (OLS) estimators in an autoregressive moving average model by a straightforward technique compared to the one used in Carter and Ullah (1979). The model contains exogenous variables and the technique also provides simpler moment expressions and can be used to derive the moments in more general dynamic models. |
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