Econometrics II

We have examined issues concerning the semi-parametric estimation of ARMA type models introducing the Gaussian Quasi Maximum Likelihood Estimator (Gaussian QMLE), in cases where the MA component is non trivial (exercise: show that the Gaussian QMLE coincides with the OLSE when the MA component is trivial, the orders of the MA and AR components are known and this information is used). We also abstractly discussed the numerical nature of its derivation, and were briefly and not rigorously occupied with its strong consistency under the relevant assumption framework concerning the MA(1) model. You can find notes on the above here.