Estimating ARMA models efficiently
RA Chumacero - Studies in Nonlinear Dynamics & Econometrics, 2001 - degruyter.com
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 …
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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 …