Edgeworth and Moment Approximations: The Case of MM and QML Estimators for the MA(1) Models

DOI10.1080/03610926.2011.597919zbMath1319.62190OpenAlexW1963899503MaRDI 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

zbMATH Keywords

asymptotic propertiesmoving average processmethod of momentsbias correctionquasi maximum likelihoodnear unit rootfirst-order autocorrelation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05)

Related Items (4)

Finite-sample theory and bias correction of maximum likelihood estimators in the EGARCH model ⋮ A simple example of an indirect estimator with discontinuous limit theory in the MA(1) model ⋮ On the validity of Edgeworth expansions and moment approximations for three indirect inference estimators ⋮ Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model

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