Estimating ARMA Models Efficiently

This paper presents the asymptotic and finite sample properties of the efficient method of moments and indirect inference, 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 using Monte Carlo experiments for both invertible and noninvertible ARMA models.

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Year of publication:	2001
Authors:	Chumacero, Rómulo A.
Published in:	Studies in Nonlinear Dynamics & Econometrics. - De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 5.2001, 2
Publisher:	De Gruyter
Subject:	Monte Carlo \| efficient method of moments \| indirect inference \| ARMA \| identification \| model selection

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Type of publication:	Article
Type of publication (narrower categories):	research-article
Language:	English
Other identifiers:	10.2202/1558-3708.1074 [DOI]
Source:	Other ZBW resources

Persistent link: https://www.econbiz.de/10014620845