  This paper provides a simple method to estimate both univariate and
multivariate MA processes. Similar to Durbin's method, it rests on the
recursive relation between the parameters of the MA process and those of its AR
representation. This recursive relation is shown to be valid both for
invertible / stable and non invertible / unstable processes under the
assumption that the process has no constant and started from zero. This makes
the method suitable for unit root processes, too.
