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Improving the accuracy of the analytical indirect inference estimator for MA models

Author

Listed:
  • Patrick Richard

    (GREDI, Universite de Sherbrooke.)

Abstract

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.

Suggested Citation

  • Patrick Richard, 2009. "Improving the accuracy of the analytical indirect inference estimator for MA models," Economics Bulletin, AccessEcon, vol. 29(4), pages 2795-2802.
    • Handle: RePEc:ebl:ecbull:eb-09-00368
    as

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    References listed on IDEAS

    as
    1. 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 829-853, October.
    2. Greg Tkacz, 2007. "Gold Prices and Inflation," Staff Working Papers 07-35, Bank of Canada.
    3. 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.
    4. 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(1), pages 95-111, March.
    5. Cordeiro, Gauss M. & Klein, Ruben, 1994. "Bias correction in ARMA models," Statistics & Probability Letters, Elsevier, vol. 19(3), pages 169-176, February.
    6. Patrick Richard, 2007. "GLS Bias Correction for Low Order ARMA models," Cahiers de recherche 07-19, Departement d'économique de l'École de gestion à l'Université de Sherbrooke.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    MA models; Analytical indirect inference; GLS.;
    All these keywords.

    JEL classification:

    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables

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