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Estimation d'un modèle TIMA avec asymétrie contemporaine par inférence indirecte

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Author Info
Catherine Bruneau
Amine Lahiani

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Abstract

Ce papier estime les paramètres d'un modèle moyenne mobile intégré à seuils avec asymétrie contemporaine. Parmi plusieurs méthodes simulées d'estimation on utilise la méthode d'inférence indirecte avec un modèle auxiliaire du type autoregressif. Pour évaluer les propriétés de l'estimateur II dans un échantillon fini on a recourt à une expérience Monte Carlo. Nos résultats montrent que l'estimateur II est convergent est asymptotiquement normal.

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Publisher Info
Article provided by Swiss Society of Economics and Statistics (SSES) in its journal Swiss Journal of Economics and Statistics.

Volume (Year): 142 (2006)
Issue (Month): IV (December)
Pages: 479–500
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Handle: RePEc:ses:arsjes:2006-iv-2

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Related research
Keywords: Séries temporelles; p-value empirique; modèles à seuils; asymétrie contemporaine;

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Find related papers by JEL classification:
C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation
C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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    Other versions:
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    Other versions:
  3. Alain Guay & Olivier Scaillet, 1999. "Indirect Inference, Nuisance Parameter and Threshold Moving Average," Cahiers de recherche CREFE / CREFE Working Papers 95, CREFE, Université du Québec à Montréal. [Downloadable!]
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  8. Guay, Alain & Scaillet, Olivier, 2003. "Indirect Inference, Nuisance Parameter, and Threshold Moving Average Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(1), pages 122-32, January.
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  11. repec:cup:etheor:v:12:y:1996:i:4:p:657-81 is not listed on IDEAS
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    Other versions:
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  15. Tauchen, George E. & Gallant, A. Ronald, 1995. "Which Moments to Match," Working Papers 95-20, Duke University, Department of Economics.
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    Other versions:
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