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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. Alain Guay & Olivier Scaillet, 1999. "Indirect Inference, Nuisance Parameter and Threshold Moving Average," Cahiers de recherche CREFE / CREFE Working Papers 95, CREFE, Université du Québec à Montréal.
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  15. repec:cup:etheor:v:12:y:1996:i:4:p:657-81 is not listed on IDEAS
  16. Guay, Alain & Scaillet, Olivier, 2003. "Indirect Inference, Nuisance Parameter, and Threshold Moving Average Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(1), pages 122-32, January.
  17. Oscar Martin & Jesus Gonzalo, 2004. "Threshold Integrated Moving Average Models (Does Size Matter? Maybe So)," Econometric Society 2004 North American Winter Meetings 145, Econometric Society.
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