Econometrics II

We were occupied with further examples, properties and issues concerning ARMA models. We have also studied issues concerning the semi-parametric estimation of such models when the orders are known, introducing the Gaussian Quasi Maximum Likelihood Estimator (Gaussian QMLE), in cases where the MA component is non trivial. 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.