Efficiency improvements for minimum distance estimation of causal and invertible ARMA models

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dc.contributor.author Lobato Garcia-Miján, Ignacio Norberto
dc.contributor.author Velasco, Carlos
dc.date.accessioned 2022-04-01T14:11:40Z
dc.date.available 2022-04-01T14:11:40Z
dc.date.issued 2018-01-01
dc.identifier.bibliographicCitation Lobato, I. N., & Velasco, C. (2018). Efficiency improvements for minimum distance estimation of causal and invertible ARMA models. Economics Letters, 162, pp. 150-152.
dc.identifier.issn 0165-1765
dc.identifier.uri http://hdl.handle.net/10016/34511
dc.description.abstract In this note we analyze efficiency improvements over the Gaussian maximum likelihood (ML) estimator for frequency domain minimum distance (MD) estimation for causal and invertible autoregressive moving average (ARMA) models. The analysis complements Velasco and Lobato (2017) where optimal MD estimation, which employs information in higher order moments, is studied for the general possibly non causal or non-invertible case. We consider MD estimation that combines in two manners the information contained in second, third, and fourth moments. We show that for both MD estimators efficiency improvements over the Gaussian ML occur when the distribution of the innovations is platykurtic. In addition, we show that asymmetry alone is not associated with efficiency improvements. (C) 2017 Elsevier B.V. All rights reserved.
dc.description.sponsorship Lobato acknowledges financial support from Asociación Mexicana de Cultura and from the Mexican Consejo Nacional de Ciencia y Tecnología (CONACYT) under project grant 151624. Velasco acknowledges financial support from the Ministerio Economía y Competitividad (Spain), grants ECO2012-31748, ECO2014-57007p and MDM 2014-0431, and Comunidad de Madrid, MadEco-CM (S2015/HUM-3444).
dc.language.iso eng
dc.publisher Elsevier
dc.rights ©2018 Elsevier
dc.rights Atribución-NoComercial-SinDerivadas 3.0 España
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.other Higher-order moments
dc.subject.other Efficiency
dc.subject.other Kurtosis
dc.title Efficiency improvements for minimum distance estimation of causal and invertible ARMA models
dc.type article
dc.subject.jel C22
dc.subject.jel C13
dc.subject.eciencia Economía
dc.identifier.doi https://doi.org/10.1016/j.econlet.2017.11.013
dc.rights.accessRights openAccess
dc.relation.projectID Gobierno de España. ECO2012-31748
dc.relation.projectID Gobierno de España. ECO2014-57007p
dc.relation.projectID Gobierno de España. MDM 2014-0431
dc.relation.projectID Comunidad de Madrid. S2015/HUM-3444
dc.type.version acceptedVersion
dc.identifier.publicationfirstpage 150
dc.identifier.publicationlastpage 152
dc.identifier.publicationtitle ECONOMICS LETTERS
dc.identifier.publicationvolume 162
dc.identifier.uxxi AR/0000020951
dc.contributor.funder Ministerio de Economía y Competitividad (España)
dc.contributor.funder Comunidad de Madrid
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