Estimating ARMA Models Efficiently

DOI10.2202/1558-3708.1074zbMath1080.62533OpenAlexW2029187795MaRDI QIDQ3368274

Rómulo A. Chumacero

Publication date: 27 January 2006

Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL: https://si2.bcentral.cl/public/pdf/documentos-trabajo/pdf/dtbc92.pdf

zbMATH Keywords

identificationMonte CarloARMAmodelindirect inferenceefficient method of moments

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

Related Items (2)

On the validity of Edgeworth expansions and moment approximations for three indirect inference estimators ⋮ On the existence of strongly consistent indirect estimators when the binding function is compact valued

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