GLS Bias Correction for Low Order ARMA models

Patrick Richard

Cahiers de recherche from Departement d'économique de l'École de gestion à l'Université de Sherbrooke

Abstract: We study the problems of bias correction in the estimation of low order ARMA(p, q) time series models. We introduce a new method to estimate the bias of the parameters of ARMA(p, q) process based on the analytical form of the GLS transformation matrix of Galbraith and Zinde-Walsh (1992). We show that the resulting bias corrected estimator is consistent and asymptotically normal. We also argue that, in the case of an MA(q) model, our method may be considered as an iteration of the analytical indirect inference technique of Galbraith and Zinde-Walsh (1994). The potential of our method is illustrated through a series of Monte Carlo experiments.

Keywords: ARMA; bias correction; GLS (search for similar items in EconPapers)
JEL-codes: C13 C22 (search for similar items in EconPapers)
Pages: 34 pages
Date: 2007
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:shr:wpaper:07-19

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