Improving the accuracy of the analytical indirect inference estimator for MA models
We propose to use the analytical generalised least squares (GLS) transformation matrix of Galbraith and Zinde-Walsh (1992) to correct finite sample estimation error of MA(q) processes parameters estimates. Our method may be considered as an iteration of the analytical indirect inference estimator (AIIE) of Galbraith and Zinde-Walsh (1994). Its potential is explored through a series of Monte Carlo experiments.
Volume (Year): 29 (2009)
Issue (Month): 4 ()
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- Hansen, Lars Peter & Hodrick, Robert J, 1980. "Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis," Journal of Political Economy, University of Chicago Press, vol. 88(5), pages 829-53, October.
- Galbraith, John W. & Zinde-Walsh, Victoria, 1992. "The GLS Transformation Matrix and a Semi-recursive Estimator for the Linear Regression Model with ARMA Errors," Econometric Theory, Cambridge University Press, vol. 8(01), pages 95-111, March.
- Greg Tkacz, 2007. "Gold Prices and Inflation," Staff Working Papers 07-35, Bank of Canada.
- Cordeiro, Gauss M. & Klein, Ruben, 1994. "Bias correction in ARMA models," Statistics & Probability Letters, Elsevier, vol. 19(3), pages 169-176, February.
- John Galbraith & Aman Ullah & Victoria Zinde-Walsh, 2002. "Estimation Of The Vector Moving Average Model By Vector Autoregression," Econometric Reviews, Taylor & Francis Journals, vol. 21(2), pages 205-219.
- Patrick Richard, 2007. "GLS Bias Correction for Low Order ARMA models," Cahiers de recherche 07-19, Departement d'Economique de la Faculte d'administration à l'Universite de Sherbrooke.
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