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- W4210544832 abstract "This paper proposes a class of minimum distance estimators for the underlying parameters in a Markovian parametric multiplicative error time series model. This class of estimators is based on the integrals of the square of a certain marked residual process. The paper derives the asymptotic distributions of the proposed estimators. In a finite sample comparison, some members of the proposed class of estimators dominate a generalized method of moments estimator in terms of the finite sample bias at a variety of chosen error distributions while neither dominate each other in terms of the mean squared error at these error distributions. A real data example is considered to illustrate the proposed estimation procedures." @default.
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- W4210544832 date "2022-01-28" @default.
- W4210544832 modified "2023-09-27" @default.
- W4210544832 title "A class of Minimum Distance Estimators in Markovian Multiplicative Error Models" @default.
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- W4210544832 doi "https://doi.org/10.1007/s13571-021-00274-x" @default.
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