Estimating function approach for CHARN models

Hiroomi Kanai, Hiroaki Ogata, Masanobu Taniguchi

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    1 Citation (Scopus)

    Abstract

    Godambe (1960,1985) and Hansen (1982) proposed the method of estimating function which makes a bridge between least squares estimator and maximum likelihood estimator. In this paper we apply the estimating function approach to CHARN models which include many well-known nonlinear time series models as special cases. Since the estimation function does not always yield the asymptotically efficient estimator, we give the optimal estimating function which entails the asymptotic efficient estimator. Numerical studies are provided, and they show some interesting features of the asymptotics.

    Original languageEnglish
    Pages (from-to)1-21
    Number of pages21
    JournalMetron
    Volume68
    Issue number1
    Publication statusPublished - 2010

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    Keywords

    • Charn model
    • Empirical likelihood
    • Estimating function
    • Mean square error
    • Nonlinear time series model
    • Optimal estimating function

    ASJC Scopus subject areas

    • Statistics and Probability

    Cite this

    Kanai, H., Ogata, H., & Taniguchi, M. (2010). Estimating function approach for CHARN models. Metron, 68(1), 1-21.