A comparison of LS/ML and GMM estimation in a simple AR(1) model

DOI10.1080/03610910008813612zbMath0968.62537OpenAlexW2048755399MaRDI QIDQ4490157

Dimitrios V. Vougas

Publication date: 10 July 2000

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610910008813612

zbMATH Keywords

stableGMMLS/ML estimatorunstable Gaussian AR(1) model

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Uses Software

• SHAZAM

Cites Work

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