Improving the accuracy of the analytical indirect inference estimator for MA models

Patrick Richard

Economics Bulletin, 2009, vol. 29, issue 4, 2795-2802

Abstract: We propose to use the analytical generalised least squares (GLS) transformation matrix of Galbraith and Zinde-Walsh (1992) to correct finite sample estimation error of MA(q) processes parameters estimates. Our method may be considered as an iteration of the analytical indirect inference estimator (AIIE) of Galbraith and Zinde-Walsh (1994). Its potential is explored through a series of Monte Carlo experiments.

Keywords: MA models; Analytical indirect inference; GLS. (search for similar items in EconPapers)
JEL-codes: C3 (search for similar items in EconPapers)
Date: 2009-11-09
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