Edgeworth and Moment Approximations: The Case of MM and QML Estimators for the MA(1) Models
Author:
Publisher
Informa UK Limited
Subject
Statistics and Probability
Link
http://www.tandfonline.com/doi/pdf/10.1080/03610926.2011.597919
Reference48 articles.
1. Edgeworth Expansion for Linear Regression Processes with Long-Memory Errors
2. WHY DO NONINVERTIBLE ESTIMATED MOVING AVERAGES OCCUR?*
3. Estimation When a Parameter is on a Boundary
4. VALID EDGEWORTH EXPANSIONS FOR THE WHITTLE MAXIMUM LIKELIHOOD ESTIMATOR FOR STATIONARY LONG-MEMORY GAUSSIAN TIME SERIES
Cited by 4 articles. 订阅此论文施引文献 订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献
1. Finite-Sample Theory and Bias Correction of Maximum Likelihood Estimators in the EGARCH Model;Journal of Time Series Econometrics;2018-10-05
2. On the Validity of Edgeworth Expansions and Moment Approximations for Three Indirect Inference Estimators;Journal of Econometric Methods;2016-08-03
3. A class of indirect inference estimators: higher‐order asymptotics and approximate bias correction;The Econometrics Journal;2015-06-01
4. A simple example of an indirect estimator with discontinuous limit theory in the MA(1) model;Journal of Time Series Analysis;2014-08-11
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