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Estimating ARMA Models Efficiently

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Listed author(s):
  • Rómulo Chumacero

Abstract

This paper presents the asymptotic and finite sample properties of the Efficient Method of Moments (EMM) and Indirect Inference (II), 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 (ML) using Monte Carlo experiments for both invertible and non-invertible ARMA models.

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Paper provided by Central Bank of Chile in its series Working Papers Central Bank of Chile with number 92.

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Date of creation: Apr 2001
Handle: RePEc:chb:bcchwp:92
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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.
  2. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
  3. Gourieroux, C & Monfort, A & Renault, E, 1993. "Indirect Inference," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(S), pages 85-118, Suppl. De.
  4. Ronald Gallant, A. & Tauchen, George, 1999. "The relative efficiency of method of moments estimators1," Journal of Econometrics, Elsevier, vol. 92(1), pages 149-172, September.
  5. 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.
  6. Gallant, A. Ronald & Tauchen, George, 1996. "Which Moments to Match?," Econometric Theory, Cambridge University Press, vol. 12(04), pages 657-681, October.
  7. 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.
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Cited by:

  1. Michael Creel & Dennis Kristensen, "undated". "Indirect Likelihood Inference," Working Papers 558, Barcelona Graduate School of Economics.
  2. Medel, Carlos, 2015. "Inflation Dynamics and the Hybrid Neo Keynesian Phillips Curve: The Case of Chile," MPRA Paper 62609, University Library of Munich, Germany.

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