Estimating ARMA Models Efficiently
AbstractThis paper presents the asymptotic and finite sample properties of the efficient method of moments and indirect inference, when applied to estimating stationary ARMA models. Issues such as identification, model selection, and testing are also discussed. The properties of these estimators are compared to those of maximum likelihood using Monte Carlo experiments for both invertible and noninvertible ARMA models.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by De Gruyter in its journal Studies in Nonlinear Dynamics & Econometrics.
Volume (Year): 5 (2001)
Issue (Month): 2 (July)
Contact details of provider:
Web page: http://www.degruyter.com
Other versions of this item:
- RÃ³mulo Chumacero, 2001. "Estimating ARMA Models Efficiently," Working Papers Central Bank of Chile, Central Bank of Chile 92, Central Bank of Chile.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Romulo Chumacero, .
"Finite Sample Properties of the Efficient Method of Moments,"
Computing in Economics and Finance 1997, Society for Computational Economics
5, Society for Computational Economics.
- Chumacero Rómulo A., 1997. "Finite Sample Properties of the Efficient Method of Moments," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, De Gruyter, vol. 2(2), pages 1-19, July.
- Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, Econometric Society, vol. 50(4), pages 1029-54, July.
- Creel, Michael & Kristensen, Dennis, 2011.
"Indirect Likelihood Inference,"
Dynare Working Papers
- Michael Creel & Dennis Kristensen, 2011. "Indirect likelihood inference," Working Papers 558, Barcelona Graduate School of Economics.
- Michael Creel & Dennis Kristensen, 2011. "Indirect likelihood inference," UFAE and IAE Working Papers, Unitat de Fonaments de l'AnÃ lisi EconÃ²mica (UAB) and Institut d'AnÃ lisi EconÃ²mica (CSIC) 874.11, Unitat de Fonaments de l'AnÃ lisi EconÃ²mica (UAB) and Institut d'AnÃ lisi EconÃ²mica (CSIC).
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Peter Golla).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.