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Estimating ARMA Models Efficiently

Author

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  • Chumacero Rómulo A.

    (University of Chile, Central Bank of Chile)

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.

Suggested Citation

  • Chumacero Rómulo A., 2001. "Estimating ARMA Models Efficiently," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 5(2), pages 1-14, July.
    • Handle: RePEc:bpj:sndecm:v:5:y:2001:i:2:n:1
    DOI: 10.2202/1558-3708.1074
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    References listed on IDEAS

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    5. Ronald Gallant, A. & Tauchen, George, 1999. "The relative efficiency of method of moments estimators1," Journal of Econometrics, Elsevier, vol. 92(1), pages 149-172, September.
    6. Francisco Gallego & Raimundo Soto, 2001. "Evolución del consumo y compras de bienes durables en Chile, 1981 - 1999," Estudios de Economia, University of Chile, Department of Economics, vol. 28(2 Year 20), pages 309-338, December.
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    8. Vittorio Corbo, 2002. "Monetary Policy in Latin America in the 90s," Central Banking, Analysis, and Economic Policies Book Series, in: Norman Loayza & Klaus Schmidt-Hebbel & Norman Loayza (Series Editor) & Klaus Schmidt-Hebbel (Series (ed.),Monetary Policy: Rules and Transmission Mechanisms, edition 1, volume 4, chapter 6, pages 117-166, Central Bank of Chile.
    9. Juan Pablo Medina & Rodrigo O. Valdés, 2002. "Optimal MOnetary Policy Rules when the Current Account Matters," Central Banking, Analysis, and Economic Policies Book Series, in: Norman Loayza & Klaus Schmidt-Hebbel & Norman Loayza (Series Editor) & Klaus Schmidt-Hebbel (Series (ed.),Monetary Policy: Rules and Transmission Mechanisms, edition 1, volume 4, chapter 4, pages 047-064, Central Bank of Chile.
    10. Chumacero Rómulo A., 1997. "Finite Sample Properties of the Efficient Method of Moments," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 2(2), pages 1-19, July.
    11. Rodrigo Cifuentes, 2000. "How Does Pension Reform Affect Savings and Welfare," Working Papers Central Bank of Chile 80, Central Bank of Chile.
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    Cited by:

    1. Arvanitis Stelios & Demos Antonis, 2018. "On the Validity of Edgeworth Expansions and Moment Approximations for Three Indirect Inference Estimators," Journal of Econometric Methods, De Gruyter, vol. 7(1), pages 1-38, January.
    2. Fiorentini, Gabriele & Galesi, Alessandro & Sentana, Enrique, 2018. "A spectral EM algorithm for dynamic factor models," Journal of Econometrics, Elsevier, vol. 205(1), pages 249-279.
    3. Michael Creel & Dennis Kristensen, "undated". "Indirect Likelihood Inference," Working Papers 558, Barcelona School of Economics.
    4. Medel, Carlos, 2015. "Inflation Dynamics and the Hybrid Neo Keynesian Phillips Curve: The Case of Chile," MPRA Paper 62609, University Library of Munich, Germany.
    5. Stelios Arvanitis, 2013. "On the Existence of Strongly Consistent Indirect Estimators When the Binding Function Is Compact Valued," Journal of Mathematics, Hindawi, vol. 2013, pages 1-14, November.

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