Nearly Efficient Estimation of Time Series Models with Predetermined, but not Exogenous, Instruments

Econometrica ◽  
1983 ◽  
Vol 51 (3) ◽  
pp. 783 ◽  
Author(s):  
Fumio Hayashi ◽  
Christopher Sims
Keyword(s):  
Time Series ◽  
Efficient Estimation ◽  
Time Series Models ◽  
Estimation Of Time

scholarly journals Estimation of Time Series Models via Robust Wavelet Variance

2014 ◽  
Vol 43 (4) ◽  
pp. 267-277
Author(s):  
Stephane Guerrier ◽  
Roberto Molinari ◽  
Maria-Pia Victoria-Feser
Keyword(s):  
Time Series ◽  
Indirect Method ◽  
Estimation Method ◽  
Time Series Models ◽  
Robust Approach ◽  
M Estimator ◽  
Wavelet Variance ◽  
Simulation Results ◽  
Estimation Of Time

A robust approach to the estimation of time series models is proposed. Taking froma new estimation method called the Generalized Method of Wavelet Moments (GMWM)which is an indirect method based on the Wavelet Variance (WV), we replace the classicalestimator of the WV with a recently proposed robust M-estimator to obtain a robustversion of the GMWM. The simulation results show that the proposed approach can beconsidered as a valid robust approach to the estimation of time series and state-spacemodels.

scholarly journals Efficient Estimation of the Parameter Path in Unstable Time Series Models

2010 ◽  
Vol 77 (4) ◽  
pp. 1508-1539 ◽  
Author(s):  
ULRICH K. MÜLLER ◽  
PHILIPPE-EMMANUEL PETALAS
Keyword(s):  
Time Series ◽  
Efficient Estimation ◽  
Time Series Models

Simulation estimation of time-series models

1991 ◽  
Vol 47 (2-3) ◽  
pp. 197-205 ◽  
Author(s):  
Bong-Soo Lee ◽  
Beth Fisher Ingram
Keyword(s):  
Time Series ◽  
Time Series Models ◽  
Simulation Estimation ◽  
Estimation Of Time
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