Efficient GMM and MD estimation of autoregressive models

DOI10.1016/S0165-1765(99)00017-8zbMath0917.90069OpenAlexW2029382527WikidataQ127629672 ScholiaQ127629672MaRDI QIDQ1285730

K. Appert

Publication date: 28 April 1999

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1765(99)00017-8

zbMATH Keywords

autoregressive modelGMMminimum distance

Mathematics Subject Classification ID

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

Related Items (4)

Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes ⋮ Moment redundancy test with application to efficiency-improving copulas ⋮ UNIFORM ASYMPTOTIC NORMALITY IN STATIONARY AND UNIT ROOT AUTOREGRESSION ⋮ Efficient GMM estimation of weak AR processes.

Cites Work

• Time series: theory and methods.
• Redundancy of moment conditions

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