Estimating Stationary ARMA Models Efficiently
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.
|Date of creation:||01 Mar 1999|
|Contact details of provider:|| Postal: CEF99, Boston College, Department of Economics, Chestnut Hill MA 02467 USA|
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- repec:cup:etheor:v:12:y:1996:i:4:p:657-81 is not listed on IDEAS
- 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.
- Romulo Chumacero, "undated". "Finite Sample Properties of the Efficient Method of Moments," Computing in Economics and Finance 1997 5, Society for Computational Economics.
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