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Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes

Author

Listed:
  • BROZE, Laurence
  • FRANCQ , Christian
  • ZAKOIAN, Jean-Michel

Abstract

This paper considers GMM estimation of autoregressive processes. It is shown that, contrary to the case where the noise is independent (see Kim, Qian and Schmidt (1999)), using high-order moments can provide substantial efficiency gains for estimating the AR(p) model when the noise is only uncorrelated.
(This abstract was borrowed from another version of this item.)
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • BROZE, Laurence & FRANCQ , Christian & ZAKOIAN, Jean-Michel, 2001. "Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes," LIDAM Reprints CORE 1576, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    • Handle: RePEc:cor:louvrp:1576
    DOI: 10.1016/S0165-1765(01)00387-1
    Note: In : Economics Letters, 71, 317-322, 2001
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    Cited by:

    1. Hafner, Christian M., 2000. "Fourth moments of multivariate GARCH processes," SFB 373 Discussion Papers 2000,80, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    2. Stanislav Anatolyev, 2007. "Optimal Instruments In Time Series: A Survey," Journal of Economic Surveys, Wiley Blackwell, vol. 21(1), pages 143-173, February.
    3. Kenneth West & Ka-fu Wong & Stanislav Anatolyev, 2009. "Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments," Econometric Reviews, Taylor & Francis Journals, vol. 28(5), pages 441-467.
    4. West, Kenneth D., 2002. "Efficient GMM estimation of weak AR processes," Economics Letters, Elsevier, vol. 75(3), pages 415-418, May.
    5. Carrasco, Marine & Florens, Jean-Pierre, 2014. "On The Asymptotic Efficiency Of Gmm," Econometric Theory, Cambridge University Press, vol. 30(2), pages 372-406, April.
    6. Christian Francq & Jean‐Michel Zakoïan, 2023. "Optimal estimating function for weak location‐scale dynamic models," Journal of Time Series Analysis, Wiley Blackwell, vol. 44(5-6), pages 533-555, September.

    More about this item

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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