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Simulation Based Inference in Moving Average Models

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  • Ghysels, E.
  • Khalaf, L.
  • Vodounou, C.

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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File URL: http://hdl.handle.net/1866/2115
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Bibliographic Info

Paper provided by Universite de Montreal, Departement de sciences economiques in its series Cahiers de recherche with number 9513.

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Length: 7 pages
Date of creation: 1995
Date of revision:
Handle: RePEc:mtl:montde:9513

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References

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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. Tauchen, George E. & Gallant, A. Ronald, 1995. "Which Moments to Match," Working Papers 95-20, Duke University, Department of Economics.
  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. 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.
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Cited by:
  1. Peter Fuleky & Eric Zivot, 2011. "Indirect Inference Based on the Score," Working Papers 201109, University of Hawaii at Manoa, Department of Economics.
  2. Romulo A. Chumacero, 1999. "Estimating Stationary ARMA Models Efficiently," Computing in Economics and Finance 1999 1333, Society for Computational Economics.
  3. Sprumont, Y., 1995. "On the Game-Theoretic Structure of Public-Good Economies," Cahiers de recherche 9519, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  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. Gospodinov, Nikolay & Ng, Serena, 2013. "Minimum distance estimation of possibly non-invertible moving average models," Working Paper 2013-11, Federal Reserve Bank of Atlanta.

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