Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes

DOI10.1016/S0165-1765(01)00387-1zbMath1030.62064OpenAlexW1977589724MaRDI QIDQ5941235

Christian Francq, Laurence Broze, Jean-Michel Zakoian

Publication date: 20 August 2001

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

Full work available at URL: https://doi.org/10.1016/s0165-1765(01)00387-1

zbMATH Keywords

GMMAutoregressive processEfficiency gainsEmpirical autocorrelationsYule-Walker estimator

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10)

Related Items (3)

Optimal estimating function for weak location‐scale dynamic models ⋮ Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments ⋮ Efficient GMM estimation of weak AR processes.

Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• Estimating linear representations of nonlinear processes
• Efficient GMM and MD estimation of autoregressive models
• On the Statistical Treatment of Linear Stochastic Difference Equations

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