Estimating Stationary ARMA Models Efficiently

Romulo Chumacero

No 1333, Computing in Economics and Finance 1999 from Society for Computational Economics

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

Date: 1999-03-01
New Economics Papers: this item is included in nep-ets
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