Generalized method of moment and indirect estimation of the ARasMA model

zbMATH Open0923.62090MaRDI QIDQ1297873FDOQ1297873

Authors: Kurt Brännäs, Xavier de Luna 

Publication date: 14 September 1999

Published in: Computational Statistics (Search for Journal in Brave)

Recommendations

• A comparison of LS/ML and GMM estimation in a simple AR(1) model
• Estimating ARMA Models Efficiently
• Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes
• scientific article; zbMATH DE number 4074276

zbMATH Keywords

time seriessmall sample propertiesnonlinearity test

Mathematics Subject Classification ID

Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Cited In (3)

• A comparison of LS/ML and GMM estimation in a simple AR(1) model
• Asymmetric vector moving average models: estimation and testing
• Robust simulation-based estimation

This page was built for publication: Generalized method of moment and indirect estimation of the ARasMA model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1297873)