Estimating ARMA Models Efficiently

Romulo Chumacero

Working Papers Central Bank of Chile from Central Bank of Chile

Abstract: This paper presents the asymptotic and finite sample properties of the Efficient Method of Moments (EMM) and Indirect Inference (II), when applied to estimating stationary ARMA models. Issues such as identification, model selection, and testing are also discussed. The properties of these estimators are compared to those of Maximum Likelihood (ML) using Monte Carlo experiments for both invertible and non-invertible ARMA models.

Date: 2001-04
New Economics Papers: this item is included in nep-ets and nep-pke
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Journal Article: Estimating ARMA Models Efficiently (2001)
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Persistent link: https://EconPapers.repec.org/RePEc:chb:bcchwp:92

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