Simulation Based Inference in Moving Average Models

Eric Ghysels (), Lynda Khalaf and Cosme Vodounou

CIRANO Working Papers from CIRANO

Abstract: We examine several simulation-based estimators for the parameters of a moving average process, including the one initially proposed by Gourieroux, Monfort and Renault (1993) as well as several extensions based on Gallant and Tauchen (1994). The estimators are also compared and related to procedures recently suggested by Galbraith and Zinde-Walsh (1994). Nous examinons plusieurs estimateurs basés sur les principes des méthodes de moments simulés et l'inférence indirecte pour des modèles de moyenne mobile. Nous étudions une procédure proposée par Gouriéroux, Monfort et Renault (1993) ainsi que des extensions de l'approche proposée par Gallant et Tauchen (1994). Nous faisons également une comparaison avec les procédures de Galbraith et Zinde-Walsh (1994).

Keywords: Simulation-based estimators; Moving average process, Méthodes de moments simulés; Modèles de moyenne mobile (search for similar items in EconPapers)
JEL-codes: C22 C51 (search for similar items in EconPapers)
Date: 1994-10-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Related works:
Journal Article: Simulation Based Inference In Moving Average Models (2003)
Working Paper: Simulation Based Inference in Moving Average Models (1995)
Working Paper: Simulation Based Inference in Moving Average Models (1995)
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Persistent link: https://EconPapers.repec.org/RePEc:cir:cirwor:94s-11

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