GLS Bias Correction for Low Order ARMA models
We study the problems of bias correction in the estimation of low order ARMA(p, q) time series models. We introduce a new method to estimate the bias of the parameters of ARMA(p, q) process based on the analytical form of the GLS transformation matrix of Galbraith and Zinde-Walsh (1992). We show that the resulting bias corrected estimator is consistent and asymptotically normal. We also argue that, in the case of an MA(q) model, our method may be considered as an iteration of the analytical indirect inference technique of Galbraith and Zinde-Walsh (1994). The potential of our method is illustrated through a series of Monte Carlo experiments.
|Date of creation:||2007|
|Date of revision:|
|Contact details of provider:|| Postal: Sherbrooke, Québec, J1K 2R1|
Phone: (819) 821-7233
Fax: (819) 821-6930
Web page: http://www.gredi.org/home/documents-de-travail
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:shr:wpaper:07-19. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Luc Savard)
If references are entirely missing, you can add them using this form.