This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Estimating Stationary ARMA Models Efficiently

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Romulo A. Chumacero () (University of Chile)

Additional information is available for the following registered author(s):

Abstract

This paper discusses the asymptotic and finite-sample properties of the Efficient Method of Moments (EMM) when applied to estimating stationary ARMA models. Issues such of identification, model selection, and testing are also discussed. The properties of these estimators are compared to those of Maximum Likelihood (ML) by means of Monte Carlo experiments for bot invertible and non-invertible ARMA models.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www-decon.facea.uchile.cl/rchumace/papers/arma.pdf
Our checks indicate that this address may not be valid because: 500 read timeout. If this is indeed the case, please notify (Christopher F. Baum)
File Format: application/pdf
File Function: main text
Download Restriction: no

Publisher Info
Paper provided by Society for Computational Economics in its series Computing in Economics and Finance 1999 with number 1333.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length:
Date of creation: 01 Mar 1999
Date of revision:
Handle: RePEc:sce:scecf9:1333

Contact details of provider:
Postal: CEF99, Boston College, Department of Economics, Chestnut Hill MA 02467 USA
Fax: +1-617-552-2308
Web page: http://fmwww.bc.edu/CEF99/
More information through EDIRC

For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).

Related research
Keywords:

Other versions of this item:

This paper has been announced in the following NEP Reports: 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. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July. [Downloadable!] (restricted)
  2. Tauchen, George E., 1995. "New Minimum Chi-Square Methods in Empirical Finance," Working Papers 95-42, Duke University, Department of Economics.
  3. Gallant, A. Ronald & Tauchen, George, 1996. "Which Moments to Match?," Econometric Theory, Cambridge University Press, vol. 12(04), pages 657-681, October. [Downloadable!]
  4. 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:
  5. Eric Ghysels & Lynda Khalaf & Cosme Vodounou, 1994. "Simulation Based Inference in Moving Average Models," CIRANO Working Papers 94s-11, CIRANO. [Downloadable!]
    Other versions:
  6. repec:cup:etheor:v:12:y:1996:i:4:p:657-81 is not listed on IDEAS
  7. Alexander Michaelides & Serena Ng, 1997. "Estimating the Rational Expectations Model of Speculative Storage: A Monte Carlo Comparison of Three Simulation Estimators," Boston College Working Papers in Economics 373, Boston College Department of Economics. [Downloadable!]
    Other versions:
  8. Tauchen, George E. & Gallant, A. Ronald, 1995. "Which Moments to Match," Working Papers 95-20, Duke University, Department of Economics.
  9. repec:bep:sndecm:2:1997:2:35-51 is not listed on IDEAS
    Other versions:
Full references

Statistics
Access and download statistics

Did you know? RePEc also has a blog.

This page was last updated on 2009-11-13.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.