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Computing and estimating information matrices of weak arma models

Yacouba Boubacar Mainassara, Michel Carbon and Christian Francq

MPRA Paper from University Library of Munich, Germany

Abstract: Numerous time series admit "weak" autoregressive-moving average (ARMA) representations, in which the errors are uncorrelated but not necessarily independent nor martingale differences. The statistical inference of this general class of models requires the estimation of generalized Fisher information matrices. We give analytic expressions and propose consistent estimators of these matrices, at any point of the parameter space. Our results are illustrated by means of Monte Carlo experiments and by analyzing the dynamics of daily returns and squared daily returns of financial series.

Keywords: Asymptotic relative efficiency (ARE); Bahadur's slope; Information matrices; Lagrange Multiplier test; Nonlinear processes; Wald test; Weak ARMA models (search for similar items in EconPapers)
JEL-codes: C01 C12 C13 C22 (search for similar items in EconPapers)
Date: 2010
New Economics Papers: this item is included in nep-ecm and nep-ets
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Journal Article: Computing and estimating information matrices of weak ARMA models (2012) Downloads
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