Purpose of the code: Estimate the parameters of an ARMA(p,q) time series model using the simulation based method Indirect Inference, see e.g. Indirect Inference - C. Gourieroux, A. Monfort and E. Renault (1993). The auxiliary model is an AR(p) model. The code, written in Ox, is a solution to the summer course exam in Advanced programming in quantitative economics in 2014 at Aarhus University. A requirement to run the code is the package Maxsa for Simulated Annealing maximization. It can be dowloaded at http://personal.vu.nl/c.s.bos/software.html. The file estarma_example.ox contains an example. For more information about Ox: http://www.doornik.com/ox/
Authors: Wei Ruen Leong, Adnan Imamovic and Henrik Markociejski