Estimating ARMA models efficiently
| Author | dc.contributor.author | Chumacero Escudero, Rómulo | |
| Admission date | dc.date.accessioned | 2017-12-28T18:41:17Z | |
| Available date | dc.date.available | 2017-12-28T18:41:17Z | |
| Publication date | dc.date.issued | 2001 | |
| Cita de ítem | dc.identifier.citation | Studies in Nonlinear Dynamics and Econometrics 5(2), 103-114; jul 2001 | es_ES |
| Identifier | dc.identifier.issn | 1081-1826 | |
| Identifier | dc.identifier.uri | https://repositorio.uchile.cl/handle/2250/146357 | |
| Abstract | dc.description.abstract | This paper presents the asymptotic and finite sample properties of the efficient method of moments and indirect inference, 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 using Monte Carlo experiments for both invertible and noninvertible ARMA models. | es_ES |
| Lenguage | dc.language.iso | en | es_ES |
| Publisher | dc.publisher | The MIT Press | es_ES |
| Type of license | dc.rights | Attribution-NonCommercial-NoDerivs 3.0 Chile | * |
| Link to License | dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/cl/ | * |
| Source | dc.source | Studies in Nonlinear Dynamics and Econometrics | es_ES |
| Keywords | dc.subject | Monte Carlo | es_ES |
| Keywords | dc.subject | Efficient method of moments | es_ES |
| Keywords | dc.subject | Indirect inference | es_ES |
| Keywords | dc.subject | ARMA | es_ES |
| Keywords | dc.subject | Identification | es_ES |
| Keywords | dc.subject | Model selection | es_ES |
| Título | dc.title | Estimating ARMA models efficiently | es_ES |
| Document type | dc.type | Artículo de revista | |
| Cataloguer | uchile.catalogador | rca | es_ES |
| Indexation | uchile.index | Artículo de publicación ISI | es_ES |
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Except where otherwise noted, this item's license is described as Attribution-NonCommercial-NoDerivs 3.0 Chile