Edgeworth and Moment Approximations: The Case of MM and QML Estimators for the MA(1) Models
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Publication:2839040
DOI10.1080/03610926.2011.597919zbMath1319.62190MaRDI QIDQ2839040
Dimitra Kyriakopoulou, Antonis Demos
Publication date: 4 July 2013
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2011.597919
asymptotic properties; moving average process; method of moments; bias correction; quasi maximum likelihood; near unit root; first-order autocorrelation
62P20: Applications of statistics to economics
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62E20: Asymptotic distribution theory in statistics
62G20: Asymptotic properties of nonparametric inference
62G05: Nonparametric estimation
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