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:	RÃ³mulo Chumacero
Published in:	Studies in Nonlinear Dynamics & Econometrics. - Berkeley Electronic Press. - Vol. 5.2001, 2, p. 1074-1074
Publisher:	Berkeley Electronic Press
Subject:	Monte Carlo \| efficient method of moments \| indirect inference \| ARMA \| identification \| model

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Extent:	application/pdf
Type of publication:	Article
Notes:	oai:bepress:
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005046509