Efficiency improvements for minimum distance estimation of causal and invertible ARMA models

DOI10.1016/J.ECONLET.2017.11.013MaRDI QIDQ1787254zbMATH OpenOpenAlexFDO

Authors I. N. Lobato, Carlos I. Hoyos Velasco

Publication date 5 October 2018

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2017.11.013

zbMATH Keywords

efficiencykurtosishigher-order moments

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cites work

• Bilinear stochastic models and related problems of nonlinear time series analysis. A frequency domain approach
• Fiscal foresight and information flows
• Frequency domain minimum distance inference for possibly noninvertible and noncausal ARMA models
• Linear Statistical Inference and its Applications
• Time series: theory and methods.

Cited in

(2)

• Frequency domain minimum distance inference for possibly noninvertible and noncausal ARMA models
• Identification and Estimation of Structural VARMA Models Using Higher Order Dynamics

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