Optimal instrumental variables estimation for ARMA models
From MaRDI portal
Recommendations
- Optimal instrumental variable estimates of the AR parameters of an ARMA process
- scientific article; zbMATH DE number 4074935
- Optimal instrumental variable multistep algorithms for estimation of the AR parameters of an ARMA process
- Instrumental variable methods for ARMA spectral estimation
- Instrumental Variables Estimation of Dynamic Simultaneous Systems with ARMA Errors
- Using instrumental variables for selecting the order of arma models
- Optimal observers for ARMA models
- Optimal linear instrumental variables approximations
- Optimal design of regression experiments with ARMA-errors
Cites work
- A central limit theorem for parameter estimation in stationary vector time series and its application to models for a signal observed with noise
- A central limit theorem for stationary processes and the parameter estimation of linear processes
- A method for calculating bounds on the asymptotic covariance matrices of generalized method of moments estimators
- Almost Sure Convergence of Estimates for the Spectral Density of a Stationary Process
- An optimality property of the least-squares estimate of the parameter of the spectrum of a purely nondeterministic time series
- Efficiency Bounds Implied by Multiperiod Conditional Moment Restrictions
- Eigenvalues of infinite matrices
- scientific article; zbMATH DE number 3958501 (Why is no real title available?)
- scientific article; zbMATH DE number 4074935 (Why is no real title available?)
- scientific article; zbMATH DE number 3717984 (Why is no real title available?)
- scientific article; zbMATH DE number 3765004 (Why is no real title available?)
- scientific article; zbMATH DE number 46153 (Why is no real title available?)
- scientific article; zbMATH DE number 88841 (Why is no real title available?)
- scientific article; zbMATH DE number 3465460 (Why is no real title available?)
- Large Sample Properties of Generalized Method of Moments Estimators
- Nearly Efficient Estimation of Time Series Models with Predetermined, but not Exogenous, Instruments
- On the second order asymptotic efficiency of estimators of Gaussian ARMA processes
- Optimal instrumental variable estimates of the AR parameters of an ARMA process
- Optimal instrumental variable multistep algorithms for estimation of the AR parameters of an ARMA process
- Simulation and the Asymptotics of Optimization Estimators
- The asymptotic theory of linear time-series models
- Vector linear time series models
- Vector linear time series models: corrections and extensions
- Weak convergence and empirical processes. With applications to statistics
Cited in
(27)- Optimal design of regression experiments with ARMA-errors
- Asymptotic normality of the instrumental variable estimates for ARIMA(\(p,m,q\)) processes
- Finite-sample properties of the instrumental-variables estimator for dynamic simultaneous-equation subsystems with ARMA disturbances
- Estimation of time series models using residuals dependence measures
- Estimating dynamic equilibrium models using mixed frequency macro and financial data
- On the asymptotic efficiency of GMM
- Small sample estimation bias in GARCH models with any number of exogenous variables in the mean equation
- scientific article; zbMATH DE number 4203525 (Why is no real title available?)
- Estimating ARMA Models Efficiently
- Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments
- Inference in Autoregression under Heteroskedasticity
- USING SUBSPACE METHODS FOR ESTIMATING ARMA MODELS FOR MULTIVARIATE TIME SERIES WITH CONDITIONALLY HETEROSKEDASTIC INNOVATIONS
- Optimal instrumental variable estimates of the AR parameters of an ARMA process
- Instrumental Variables Estimation of Dynamic Simultaneous Systems with ARMA Errors
- Optimal instrumental variable multistep algorithms for estimation of the AR parameters of an ARMA process
- scientific article; zbMATH DE number 4074935 (Why is no real title available?)
- OPTIMAL IV ESTIMATION OF SYSTEMS WITH STOCHASTIC REGRESSORS AND VAR DISTURBANCES WITH APPLICATIONS TO DYNAMIC SYSTEMS
- EFFICIENT IV ESTIMATION FOR AUTOREGRESSIVE MODELS WITH CONDITIONAL HETEROSKEDASTICITY
- A general approach to conditional moment specification testing with projections
- A regularization approach to the many instruments problem
- Kernel-weighted GMM estimators for linear time series models
- Local GMM estimation of time series models with conditional moment restrictions
- Simultaneous selection and weighting of moments in GMM using a trapezoidal kernel
- Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity
- Portmanteau tests for linearity of stationary time series
- Bootstrap Inference in Cointegrating Regressions: Traditional and Self-Normalized Test Statistics
- Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
This page was built for publication: Optimal instrumental variables estimation for ARMA models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5952957)
