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Estimating Stationary ARMA Models Efficiently

  • Romulo A. Chumacero

    ()

    (University of Chile)

This paper discusses the asymptotic and finite-sample properties of the Efficient Method of Moments (EMM) when applied to estimating stationary ARMA models. Issues such of identification, model selection, and testing are also discussed. The properties of these estimators are compared to those of Maximum Likelihood (ML) by means of Monte Carlo experiments for bot invertible and non-invertible ARMA models.

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File URL: http://www-decon.facea.uchile.cl/rchumace/papers/arma.pdf
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Paper provided by Society for Computational Economics in its series Computing in Economics and Finance 1999 with number 1333.

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Date of creation: 01 Mar 1999
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Handle: RePEc:sce:scecf9:1333
Contact details of provider: Postal: CEF99, Boston College, Department of Economics, Chestnut Hill MA 02467 USA
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  1. Ghysels, E. & Khalaf, L. & Vodounou, C., 1995. "Simulation Based Inference in Moving Average Models," Cahiers de recherche 9513, Universite de Montreal, Departement de sciences economiques.
  2. Alexander Michaelides & Serena Ng, 1997. "Estimating the Rational Expectations Model of Speculative Storage: A Monte Carlo Comparison of Three Simulation Estimators," Boston College Working Papers in Economics 373, Boston College Department of Economics.
  3. repec:cup:etheor:v:12:y:1996:i:4:p:657-81 is not listed on IDEAS
  4. Romulo Chumacero, . "Finite Sample Properties of the Efficient Method of Moments," Computing in Economics and Finance 1997 5, Society for Computational Economics.
  5. Gourieroux, C & Monfort, A & Renault, E, 1993. "Indirect Inference," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(S), pages S85-118, Suppl. De.
  6. Gallant, A. Ronald & Tauchen, George, 1996. "Which Moments to Match?," Econometric Theory, Cambridge University Press, vol. 12(04), pages 657-681, October.
  7. 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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