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Non redundancy of high order moment conditions for efficient GMM estimation of weak AR processes

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Broze, Laurence Francq, Christian Zakoian, Jean-Michel

This paper considers GMM estimation of autoregressive processes. It is shown that, contrary to the case where the noise is independent (see Kim, Qian and Schmidt (1999)), using high-order moments can provide substantial efficiency gains for estimating the AR(p) model when the noise is only uncorrelated.

Document type Document de travail (Working Paper)
Access type Accès libre
Publication date 2000
Collection CORE Discussion Papers - 2000/33
Affiliation UCL - CORE - Center for Operations Research and Econometrics
Keywords Autoregressive process ; Efficiency gains ; GMM ; Empirical autocorrelations ; Yule-Walker estimator
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Bibliographic reference Broze, Laurence ; Francq, Christian ; Zakoian, Jean-Michel. Non redundancy of high order moment conditions for efficient GMM estimation of weak AR processes. CORE Discussion Papers ; 2000/33 (2000)
Permanent URL http://hdl.handle.net/2078.1/4122