Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes (Q5941235)
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scientific article; zbMATH DE number 1635400
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| English | Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes |
scientific article; zbMATH DE number 1635400 |
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Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes (English)
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20 August 2001
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This paper considers GMM estimation of autoregressive processes. It is shown that, contrary to the case where the noise is independent [see \textit{Y. Kim} et al., ibid. 62, 265-270 (1999; Zbl 0917.90069)], using higher-order moments can provide substantial efficiency gains for estimating the AR\((p)\) model when the noise is only uncorrelated.
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Autoregressive process
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Efficiency gains
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GMM
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Empirical autocorrelations
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Yule-Walker estimator
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0.8492088317871094
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0.8003398180007935
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0.7915970683097839
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0.7845901250839233
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0.7795178890228271
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