Third order asymptotic properties of maximum likelihood estimators for Gaussian ARMA processes
AbstractIn this paper we investigate various third-order asymptotic properties of maximum likelihood estimators for Gaussian ARMA processes by the third-order Edgeworth expansions of the sampling distributions. We define a third-order asymptotic efficiency by the highest probability concentration around the true value with respect to the third-order Edgeworth expansion. Then we show that the maximum likelihood estimator is not always third-order asymptotically efficient in the class A3 of third-order asymptotically median unbiased estimators. But, if we confine our discussions to an appropriate class D ([subset of] A3) of estimators, we can show that appropriately modified maximum likelihood estimator is always third-order asymptotically efficient in D.
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 Elsevier in its journal Journal of Multivariate Analysis.
Volume (Year): 18 (1986)
Issue (Month): 1 (February)
Contact details of provider:
Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Donald W.K. Andrews & Offer Lieberman, 2002.
"Higher-order Improvements of the Parametric Bootstrap for Long-memory Gaussian Processes,"
Cowles Foundation Discussion Papers
1378, Cowles Foundation for Research in Economics, Yale University.
- Andrews, Donald W.K. & Lieberman, Offer & Marmer, Vadim, 2006. "Higher-order improvements of the parametric bootstrap for long-memory Gaussian processes," Journal of Econometrics, Elsevier, vol. 133(2), pages 673-702, August.
- Kano, Yutaka, 1998. "More Higher-Order Efficiency: Concentration Probability," Journal of Multivariate Analysis, Elsevier, vol. 67(2), pages 349-366, November.
- Srivastava, V. K. & Maekawa, Koichi, 1995. "Efficiency properties of feasible generalized least squares estimators in SURE models under non-normal disturbances," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 99-121.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).
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.