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Simulation Based Inference In Moving Average Models

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  • Eric GHYSELS
  • Lynda KHALAF
  • Cosmé VODOUNOU

Abstract

We examine several autoregressive-based estimators for the parameters of a moving average process, including the estimators initially proposed by Galbraith and Zinde-Walsh [1994] and Gouriéroux, Monfort and Renault [1993]. We also propose over-identified asymptotic-least-squares based variants of the former, and extensions of the latter based on Gallant and Tauchen's [1996] simulated method of moments. The relative performance of these estimators is assessed, with emphasis on the near-uninvertibility region. We find that, although no formal local-to-one arguments are taken into consideration, the Wald-type indirect inference method performs best at the boundary, with practically just one calibration.

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Bibliographic Info

Article provided by ENSAE in its journal Annals of Economics and Statistics.

Volume (Year): (2003)
Issue (Month): 69 ()
Pages: 85-99

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Handle: RePEc:adr:anecst:y:2003:i:69:p:04

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  1. Ansley, Craig F. & Newbold, Paul, 1980. "Finite sample properties of estimators for autoregressive moving average models," Journal of Econometrics, Elsevier, Elsevier, vol. 13(2), pages 159-183, June.
  2. Mentz, Raul Pedro, 1977. "Estimation in the first-order moving average model through the finite autoregressive approximation : Some asymptotic results," Journal of Econometrics, Elsevier, Elsevier, vol. 6(2), pages 225-236, September.
  3. Gourieroux, C. & Monfort, A. & Renault, E., 1992. "Indirect Inference," Papers, Toulouse - GREMAQ 92.279, Toulouse - GREMAQ.
  4. Tauchen, George E. & Gallant, A. Ronald, 1995. "Which Moments to Match," Working Papers, Duke University, Department of Economics 95-20, Duke University, Department of Economics.
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Cited by:
  1. Sprumont, Y., 1995. "On the Game-Theoretic Structure of Public-Good Economies," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques 9519, Universite de Montreal, Departement de sciences economiques.
  2. Touhami, A. & Martens, A., 1996. "Macroemesures in Computable General Equilibrium Models: a Probabilistic Treatment with an Application to Morocco," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques 9621, Universite de Montreal, Departement de sciences economiques.
  3. Laurini, Márcio Poletti & Hotta, Luiz Koodi, 2013. "Indirect Inference in fractional short-term interest rate diffusions," Mathematics and Computers in Simulation (MATCOM), Elsevier, Elsevier, vol. 94(C), pages 109-126.
  4. Romulo A. Chumacero, 1999. "Estimating Stationary ARMA Models Efficiently," Computing in Economics and Finance 1999, Society for Computational Economics 1333, Society for Computational Economics.
  5. Stelios Arvanitis & Antonis Demos, 2014. "On the Validity of Edgeworth Expansions and Moment Approximations for Three Indirect Inference Estimators," DEOS Working Papers, Athens University of Economics and Business 1406, Athens University of Economics and Business.
  6. Gospodinov, Nikolay & Ng, Serena, 2013. "Minimum distance estimation of possibly non-invertible moving average models," Working Paper, Federal Reserve Bank of Atlanta 2013-11, Federal Reserve Bank of Atlanta.
  7. Peter Fuleky & Eric Zivot, 2010. "Indirect Inference Based on the Score," Working Papers, University of Washington, Department of Economics UWEC-2010-08, University of Washington, Department of Economics.

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