Optimal instrumental variables estimation for ARMA models
From MaRDI portal
Publication:5952957
DOI10.1016/S0304-4076(01)00088-4zbMath0999.62070OpenAlexW3124209885MaRDI QIDQ5952957
Publication date: 4 December 2002
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0304-4076(01)00088-4
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical tables (62Q05)
Related Items
A general approach to conditional moment specification testing with projections ⋮ Small Sample Estimation Bias in GARCH Models with Any Number of Exogenous Variables in the Mean Equation ⋮ Estimating dynamic equilibrium models using mixed frequency macro and financial data ⋮ Bootstrapping autoregressions with conditional heteroskedasticity of unknown form ⋮ A regularization approach to the many instruments problem ⋮ Kernel-weighted GMM estimators for linear time series models ⋮ Local GMM estimation of time series models with conditional moment restrictions ⋮ Simultaneous selection and weighting of moments in GMM using a trapezoidal kernel ⋮ Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity ⋮ USING SUBSPACE METHODS FOR ESTIMATING ARMA MODELS FOR MULTIVARIATE TIME SERIES WITH CONDITIONALLY HETEROSKEDASTIC INNOVATIONS ⋮ Portmanteau tests for linearity of stationary time series ⋮ Inference in Autoregression under Heteroskedasticity ⋮ ON THE ASYMPTOTIC EFFICIENCY OF GMM
Cites Work
- Large Sample Properties of Generalized Method of Moments Estimators
- A method for calculating bounds on the asymptotic covariance matrices of generalized method of moments estimators
- An optimality property of the least-squares estimate of the parameter of the spectrum of a purely nondeterministic time series
- A central limit theorem for stationary processes and the parameter estimation of linear processes
- A central limit theorem for parameter estimation in stationary vector time series and its application to models for a signal observed with noise
- On the second order asymptotic efficiency of estimators of Gaussian ARMA processes
- Weak convergence and empirical processes. With applications to statistics
- Nearly Efficient Estimation of Time Series Models with Predetermined, but not Exogenous, Instruments
- Simulation and the Asymptotics of Optimization Estimators
- Optimal instrumental variable estimates of the AR parameters of an ARMA process
- Optimal instrumental variable multistep algorithms for estimation of the AR parameters of an ARMA process
- Almost Sure Convergence of Estimates for the Spectral Density of a Stationary Process
- Vector linear time series models
- Vector linear time series models: corrections and extensions
- Efficiency Bounds Implied by Multiperiod Conditional Moment Restrictions
- Eigenvalues of infinite matrices
- The asymptotic theory of linear time-series models
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
