Estimating ARMA Models Efficiently
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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- Francisco Gallego & Raimundo Soto, 2000.
"Evolución del Consumo y Compras de Bienes Durables en Chile, 1981-1999,"
Working Papers Central Bank of Chile
79, Central Bank of Chile.
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- Romulo Chumacero, .
"Finite Sample Properties of the Efficient Method of Moments,"
Computing in Economics and Finance 1997
5, Society for Computational Economics.
- 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.
- Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
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