Generalized method of moment and indirect estimation of the ARasMA model

MaRDI QIDQ1297873zbMATHFDO

Authors Kurt Brännäs, Xavier de Luna

Publication date 14 September 1999

Published in Computational Statistics (Search for Journal in Brave)

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)

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(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

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