Non Redundancy of High Order Moment Conditions for Efficient GMM Estimation of Weak AR Process.

This paper considers GMM estimation of autoregressive processes. It is shown that, contrary to the case where the noise is independent, using high-order moments can provide subtantial efficiency gains for estimating the AR model when the noise is only uncorrelated.

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Year of publication:	2000
Authors:	Broze, L. ; Francq, C. ; Zakoian, J.-M.
Institutions:	Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
Subject:	MATHEMATICAL ANALYSIS \| MODELS \| DISTRIBUTION

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Series:	Papers.
Type of publication:	Book / Working Paper
Notes:	8 pages
Classification:	C13 - Estimation ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005634067