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Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes

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  • Broze, Laurence
  • Francq, Christian
  • Zakoian, Jean-Michel

Abstract

This paper considers GMM estimation of autoregressive processes. It is shown that, contrary to the case where the noise is independent (see Kim, Qian and Schmidt (1999)), using high-order moments can provide substantial efficiency gains for estimating the AR(p) model when the noise is only uncorrelated.

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File URL: http://www.sciencedirect.com/science/article/B6V84-42VV88K-3/2/6dfff61474823f40bfae7c3d1d0098de
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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 71 (2001)
Issue (Month): 3 (June)
Pages: 317-322

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Handle: RePEc:eee:ecolet:v:71:y:2001:i:3:p:317-322

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References

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  1. Christian Francq & Jean-Michel Zakoïan, 1997. "Estimating Weak Garch Representations," Working Papers 97-40, Centre de Recherche en Economie et Statistique.
  2. Kim, Yangseon & Qian, Hailong & Schmidt, Peter, 1999. "Efficient GMM and MD estimation of autoregressive models," Economics Letters, Elsevier, vol. 62(3), pages 265-270, March.
  3. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
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Cited by:
  1. Hafner, Christian M., 2000. "Fourth moments of multivariate GARCH processes," SFB 373 Discussion Papers 2000,80, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  2. Kenneth D. West & Ka-fu Wong & Stanislav Anatolyev, 2007. "Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments," NBER Working Papers 13134, National Bureau of Economic Research, Inc.
  3. Stanislav Anatolyev, 2005. "Optimal Instruments in Time Series: A Survey," Working Papers w0069, Center for Economic and Financial Research (CEFIR).
  4. Jean-Pierre Florens & Marine Carrasco, 2004. "On the Asymptotic Efficiency of GMM," Econometric Society 2004 North American Winter Meetings 436, Econometric Society.
  5. West, Kenneth D., 2002. "Efficient GMM estimation of weak AR processes," Economics Letters, Elsevier, vol. 75(3), pages 415-418, May.

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