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Simulation Based Inference in Moving Average Models

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  • Eric Ghysels

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  • Lynda Khalaf
  • Cosme Vodounou

Abstract

We examine several simulation-based estimators for the parameters of a moving average process, including the one initially proposed by Gourieroux, Monfort and Renault (1993) as well as several extensions based on Gallant and Tauchen (1994). The estimators are also compared and related to procedures recently suggested by Galbraith and Zinde-Walsh (1994). Nous examinons plusieurs estimateurs basés sur les principes des méthodes de moments simulés et l'inférence indirecte pour des modèles de moyenne mobile. Nous étudions une procédure proposée par Gouriéroux, Monfort et Renault (1993) ainsi que des extensions de l'approche proposée par Gallant et Tauchen (1994). Nous faisons également une comparaison avec les procédures de Galbraith et Zinde-Walsh (1994).

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Bibliographic Info

Paper provided by CIRANO in its series CIRANO Working Papers with number 94s-11.

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Date of creation: 01 Oct 1994
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Handle: RePEc:cir:cirwor:94s-11

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Keywords: Simulation-based estimators; Moving average process; Méthodes de moments simulés ; Modèles de moyenne mobile;

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  1. Gourieroux, C & Monfort, A & Renault, E, 1993. "Indirect Inference," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(S), pages S85-118, Suppl. De.
  2. Mentz, Raul Pedro, 1977. "Estimation in the first-order moving average model through the finite autoregressive approximation : Some asymptotic results," Journal of Econometrics, Elsevier, vol. 6(2), pages 225-236, September.
  3. Ansley, Craig F. & Newbold, Paul, 1980. "Finite sample properties of estimators for autoregressive moving average models," Journal of Econometrics, Elsevier, vol. 13(2), pages 159-183, June.
  4. Tauchen, George E. & Gallant, A. Ronald, 1995. "Which Moments to Match," Working Papers 95-20, Duke University, Department of Economics.
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Cited by:
  1. Sprumont, Y., 1995. "On the Game-Theoretic Structure of Public-Good Economies," Cahiers de recherche 9519, Universite de Montreal, Departement de sciences economiques.
  2. Peter Fuleky & Eric Zivot, 2010. "Indirect Inference Based on the Score," Working Papers UWEC-2010-08, University of Washington, Department of Economics.
  3. Gospodinov, Nikolay & Ng, Serena, 2013. "Minimum distance estimation of possibly non-invertible moving average models," Working Paper 2013-11, Federal Reserve Bank of Atlanta.
  4. Touhami, A. & Martens, A., 1996. "Macroemesures in Computable General Equilibrium Models: a Probabilistic Treatment with an Application to Morocco," Cahiers de recherche 9621, Universite de Montreal, Departement de sciences economiques.
  5. Stelios Arvanitis & Antonis Demos, 2014. "On the Validity of Edgeworth Expansions and Moment Approximations for Three Indirect Inference Estimators," DEOS Working Papers 1406, Athens University of Economics and Business.
  6. Laurini, Márcio Poletti & Hotta, Luiz Koodi, 2013. "Indirect Inference in fractional short-term interest rate diffusions," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 109-126.
  7. Romulo A. Chumacero, 1999. "Estimating Stationary ARMA Models Efficiently," Computing in Economics and Finance 1999 1333, Society for Computational Economics.

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