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Estimation d'un modèle TIMA avec asymétrie contemporaine par inférence indirecte

  • Catherine Bruneau
  • Amine Lahiani

Ce papier estime les paramètres d'un modèle moyenne mobile intégré à seuils avec asymétrie contemporaine. Parmi plusieurs méthodes simulées d'estimation on utilise la méthode d'inférence indirecte avec un modèle auxiliaire du type autoregressif. Pour évaluer les propriétés de l'estimateur II dans un échantillon fini on a recourt à une expérience Monte Carlo. Nos résultats montrent que l'estimateur II est convergent est asymptotiquement normal.

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Article provided by Swiss Society of Economics and Statistics (SSES) in its journal Swiss Journal of Economics and Statistics.

Volume (Year): 142 (2006)
Issue (Month): IV (December)
Pages: 479–500

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Handle: RePEc:ses:arsjes:2006-iv-2
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  1. Michaelides, Alexander & Ng, Serena, 2000. "Estimating the rational expectations model of speculative storage: A Monte Carlo comparison of three simulation estimators," Journal of Econometrics, Elsevier, vol. 96(2), pages 231-266, June.
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  17. M, El Babsiri & Jean-Michel Zakoïan, 1997. "Contemporaneous Asymmetry in GARCH Processes," Working Papers 97-03, Centre de Recherche en Economie et Statistique.
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