Estimating ARMA Models Efficiently
AbstractThis paper presents the asymptotic and finite sample properties of the Efficient Method of Moments (EMM) and Indirect Inference (II), 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 (ML) using Monte Carlo experiments for both invertible and non-invertible ARMA models.
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Bibliographic InfoPaper provided by Central Bank of Chile in its series Working Papers Central Bank of Chile with number 92.
Date of creation: Apr 2001
Date of revision:
Other versions of this item:
- NEP-ALL-2004-02-10 (All new papers)
- NEP-ETS-2002-02-15 (Econometric Time Series)
- NEP-PKE-2002-02-15 (Post Keynesian Economics)
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- Romulo Chumacero, .
"Finite Sample Properties of the Efficient Method of Moments,"
Computing in Economics and Finance 1997
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, vol. 2(2), pages 1-19, July.
- Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, 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 874.11, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
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