Econometrics II

We considered the example of a simple indirect inference estimator for an invertible MA(1) model, via the use of a stationary AR(1) model and the corresponding OLSE as auxiliary model and estimator respectively. You can find notes on the above here. You can also find notes for our brief comment on the extension of the ARMA type models here.

We have begun the study of conditional heteroskedasticity by providing a general definition. You can also find notes on the above here.

Exercise

How would the definition of the aforementioned Indirect Estimator would alter if it waw known that the underlying MA(1) process were not invertible? Provide the details.