文章基本信息

标题：Improving the accuracy of the analytical indirect inference estimator for MA models.
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作者：Patrick Richard
期刊名称：Economics Bulletin
电子版ISSN：1545-2921
出版年度：2009
卷号：29
期号：4
页码：2795-2802
出版社：Economics Bulletin
摘要：We propose to use the analytical generalised least squares (GLS) transformation matrix of Galbraith and Zinde-Walsh (1992) to correct finite sample estimation error of MA(q) processes parameters estimates. Our method may be considered as an iteration of the analytical indirect inference estimator (AIIE) of Galbraith and Zinde-Walsh (1994). Its potential is explored through a series of Monte Carlo experiments