Estimating ARMA Models Efficiently

DOI10.2202/1558-3708.1074MaRDI QIDQ3368274zbMATH OpenOpenAlexFDO

Authors Rómulo A. Chumacero

Publication date 27 January 2006

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL https://si2.bcentral.cl/public/pdf/documentos-trabajo/pdf/dtbc92.pdf

zbMATH Keywords

ARMAefficient method of momentsidentificationindirect inferencemodelMonte Carlo

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

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(16)

• Efficient GMM and MD estimation of autoregressive models
• Generalized method of moment and indirect estimation of the ARasMA model
• On the asymptotic relative efficiency of Gaussian and least squares estimators for vector ARMA models
• Efficient GMM estimation of weak AR processes.
• Efficiency improvements for minimum distance estimation of causal and invertible ARMA models
• Estimation of time series models using residuals dependence measures
• On the validity of Edgeworth expansions and moment approximations for three indirect inference estimators
• On the existence of strongly consistent indirect estimators when the binding function is compact valued
• Computing stochastic continuous-time models from ARMA models
• Generalized Autoregressive (GAR) Model: A Comparison of Maximum Likelihood and Whittle Estimation Procedures Using a Simulation Study
• THE ASYMPTOTIC EFFICIENCY OF A LINEAR PROCEDURE OF ESTIMATION FOR ARMA MODELS
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• Test and Analysis for Comovement-Locomotive Hypothesis
• On Efficient AR Spectral Estimation for Long-Range Predictions
• Quasi-Empirical Bayes Methods of Estimation in Arma (p, q) Models with Vague Prior Information on MA(q)¹

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