Estimating ARMA Models Efficiently
This paper presents the asymptotic and finite sample properties of the efficient method of moments and indirect inference, when applied to estimating stationary ARMA models. Issues such as identification, model selection, and testing are also discussed. The properties of these estimators are compared to those of maximum likelihood using Monte Carlo experiments for both invertible and noninvertible ARMA models.
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Volume (Year): 5 (2001)
Issue (Month): 2 (July)
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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.:
- Chumacero Rómulo A., 1997.
"Finite Sample Properties of the Efficient Method of Moments,"
Studies in Nonlinear Dynamics & Econometrics,
De Gruyter, vol. 2(2), pages 1-19, July.
- Romulo Chumacero, . "Finite Sample Properties of the Efficient Method of Moments," Computing in Economics and Finance 1997 5, Society for Computational Economics.
- Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
- Francisco Gallego & Raimundo Soto, 2001.
"Evolución del consumo y compras de bienes durables en Chile, 1981 - 1999,"
Estudios de Economia,
University of Chile, Department of Economics, vol. 28(2 Year 20), pages 309-338, December.
- Francisco Gallego & Raimundo Soto, 2000. "Evolución del Consumo y Compras de Bienes Durables en Chile, 1981-1999," Working Papers Central Bank of Chile 79, Central Bank of Chile.
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