Estimating ARMA models efficiently

被引：5

作者：

Chumacero, RA ^{[1
]}

机构：

[1] Univ Chile, Dept Econ, Santiago, Chile

来源：

STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS | 2001年 / 5卷 / 02期

关键词：

Monte Carlo; efficient method of moments; indirect inference; ARMA; identification; model selection;

D O I：

10.1162/108118201317283626

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper presents the asymptotic and finite sample properties of the efficient method of moments and indirect inference, when applied to estimating stationary ARMA models. Issues such as identification, model selection, and testing are also discussed. The properties of these estimators are compared to those of maximum likelihood using Monte Carlo experiments for both invertible and noninvertible ARMA models.

引用

页码：103 / 114

页数：12

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