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

DOI10.1016/j.econlet.2017.11.013zbMath1401.62169OpenAlexW2769194819MaRDI QIDQ1787254

Carlos Velasco, Ignacio N. Lobato

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

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

Related Items (1)

Identification and Estimation of Structural VARMA Models Using Higher Order Dynamics

Cites Work

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

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