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Simulation Based Inference in Moving Average Models

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Author Info
Ghysels, E.
Khalaf, L.
Vodounou, C.

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Abstract

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Publisher Info
Paper provided by Centre interuniversitaire de recherche en économie quantitative, CIREQ 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:montec:9513

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Related research
Keywords: ECONOMETRICS; SIMULATION;

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  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. [Downloadable!] (restricted)
    Other versions:
  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. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Laurini, Márcio P. & Hotta, Luiz K., 2008. "Inferência indireta em modelos fracionários de taxas de juros de curto prazo," Ibmec Working Papers wpe_119, Ibmec Working Paper, Ibmec São Paulo. [Downloadable!]
  2. Veronika Czellar & Eric Zivot, 2008. "Improved small sample inference for efficient method of moments and indirect inference estimators," Working Papers UWEC-2008-04, University of Washington, Department of Economics. [Downloadable!]
  3. Rómulo Chumacero, 2001. "Estimating ARMA Models Efficiently," Working Papers Central Bank of Chile 92, Central Bank of Chile. [Downloadable!]
  4. Sprumont, Y., 1995. "On the Game-Theoretic Structure of Public-Good Economies," Cahiers de recherche 9519, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
  5. Romulo A. Chumacero, 1999. "Estimating Stationary ARMA Models Efficiently," Computing in Economics and Finance 1999 1333, Society for Computational Economics. [Downloadable!]
Statistics
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This page was last updated on 2009-11-25.

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