Title of article
Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes
Author/Authors
Laurence Broze، نويسنده , , Christian Francq، نويسنده , , Jean-Michel Zakoïan، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2001
Pages
6
From page
317
To page
322
Abstract
This paper considers GMM estimation of autoregressive processes. It is shown that, contrary to the case where the noise is independent [see Kim et al., Economics Letters 62 (1999) 265–270], using high-order moments can provide substantial efficiency gains for estimating the AR(p) model when the noise is only uncorrelated.
Keywords
Autoregressive process , Yule-Walker estimator , GMM , Empirical autocorrelations , Efficiency gains
Journal title
Economics Letters
Serial Year
2001
Journal title
Economics Letters
Record number
434788
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