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Estimating ARMA Models Efficiently

  • Rómulo Chumacero

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
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Handle: RePEc:chb:bcchwp:92
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  1. 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.
  2. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
  3. 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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