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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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Bibliographic Info

Paper provided by Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) in its series CORE Discussion Papers with number 2000033.

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Date of creation: 00 Jun 2000
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Handle: RePEc:cor:louvco:2000033

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Keywords: autoregressive process; efficiency gains; GMM; empirical autocorrelations; Yule-Walker estimator.;

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References

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  1. 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.
  2. Christian Francq & Jean-Michel Zakoïan, 1997. "Estimating Weak Garch Representations," Working Papers 97-40, Centre de Recherche en Economie et Statistique.
  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, 2001. "Fourth moments of multivariate GARCH processes," CORE Discussion Papers 2001046, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  2. West,K.D. & Wong,K.-F. & Anatolyev,S., 2001. "Instrumental variables estimation of heteroskedastic linear models using all lags of instruments," Working papers 20, Wisconsin Madison - Social Systems.
  3. Carrasco, Marine & Florens, Jean-Pierre, 2003. "On the Asymptotic Efficiency of GMM," IDEI Working Papers 173, Institut d'Économie Industrielle (IDEI), Toulouse.
  4. Stanislav Anatolyev, 2005. "Optimal Instruments in Time Series: A Survey," Working Papers w0069, Center for Economic and Financial Research (CEFIR).
  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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