We examine several autoregressive-based estimators for the parameters of a moving average process, including the estimators initially proposed by Galbraith and Zinde-Walsh [1994] and Gouriéroux, Monfort and Renault [1993]. We also propose over-identified asymptotic-least-squares based variants...

This paper proposes nonparametric inference methods for the first-order autoregressive process. The problem studied is to test any hypothesis stating that the autocorrelation coefficient has a given value . We consider the family of tests based on rank autocorrelations from the model transformed...

To assess the uncertainty of calibrated parameters in computable general equilibrium (CGE), we study two methods for building confidence sets on these parameters. The first method uses a projection technique from (sampling or Bayesian) confidence sets on the free parameters of a deterministic...