Abstract
This paper considers GMM estimation of autoregressive processes. It is shown that, contrary to the case where the noise is independent [see Kim et al., Economics Letters 62 (1999) 265–270], using high-order moments can provide substantial efficiency gains for estimating the AR( p) model when the noise is only uncorrelated.
Full Text 
Sign-in/Register to access full text options
Sign-in/Register to access full text options 
Published version (
Free)
Free) 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a call
