Improving the accuracy of the analytical indirect inference estimator for MA models.

We propose to use the analytical generalised least squares (GLS) transformation matrix of Galbraith and Zinde-Walsh (1992) to correct finite sample estimation error of MA(q) processes parameters estimates. Our method may be considered as an iteration of the analytical indirect inference estimator (AIIE) of Galbraith and Zinde-Walsh (1994). Its potential is explored through a series of Monte Carlo experiments.

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Year of publication:	2009
Authors:	Richard, Patrick
Published in:	Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 29.2009, 4, p. 2795-2802
Publisher:	AccessEcon
Subject:	MA models \| Analytical indirect inference \| GLS

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Extent:	application/pdf
Type of publication:	Article
Language:	English
Classification:	C3 - Econometric Methods: Multiple/Simultaneous Equation Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008563203