Scandinavian Working Papers in Economics
Umeå Economic Studies,
Umeå University, Department of Economics
No 436: Generalized Method of Moment and Indirect Estimation of the ARASMA Model
Kurt Brännäs () and Xavier de Luna ()
Additional contact information
Kurt Brännäs: Department of Economics, Umeå University, Postal: S 901 87 Umeå, Sweden
Xavier de Luna: University College London, Postal: Gower Street, WC1E 6BT London
Abstract: Estimation in nonlinear time series models has mainly been performed by least squares or maximum likelihood (ML) methods. The paper suggests and studies the performance of generalized method of moments (GMM) and indirect estimators for the autoregressive asymmetric moving average model. Both approaches are easy to implement and perform well numerically. In a Monte Carlo study it is found that the MSE properties of GMM are close to those of ML. The indirect estimator performs poorly in this respect. On the other hand, the three estimation techniques lead to fairly similar power functions for a linearity test.
Keywords: Estimation; Nonlinearity Test; Small Sample Properties; Time Series.
10 pages, December 15, 1997
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