IDEAS home Printed from https://ideas.repec.org/a/cup/etheor/v10y1994i05p884-899_00.html
   My bibliography  Save this article

A Note on Autoregressive Modeling

Author

Listed:
  • Poskitt, D.S.

Abstract

This paper addresses the problem of estimating vector autoregressive models. An approach to handling nonstationary (integrated) time series is briefly discussed, but the main emphasis is upon the estimation of autoregressive approximations to stationary processes. Three alternative estimators are considered–the Yule-Walker, least-squares, and Burg-type estimates–and a complete analysis of their asymptotic properties in the stationary case is given. The results obtained, when placed together with those found elsewhere in the literature, lead to the direct recommendation that the less familiar Burg-type estimator should be used in practice when modeling stationary series. This is particularly so when the underlying objective of the analysis is to investigate the interrelationships between variables of interest via impulse response functions and dynamic multipliers.

Suggested Citation

  • Poskitt, D.S., 1994. "A Note on Autoregressive Modeling," Econometric Theory, Cambridge University Press, vol. 10(5), pages 884-899, December.
    • Handle: RePEc:cup:etheor:v:10:y:1994:i:05:p:884-899_00
    as

    Download full text from publisher

    File URL: https://www.cambridge.org/core/product/identifier/S0266466600008902/type/journal_article
    File Function: link to article abstract page
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Carlos Medel, 2012. "¿Akaike o Schwarz? ¿Cuál elegir para Predecir el PIB Chileno?," Working Papers Central Bank of Chile 658, Central Bank of Chile.
    2. Stephan Smeekes, 2013. "Detrending Bootstrap Unit Root Tests," Econometric Reviews, Taylor & Francis Journals, vol. 32(8), pages 869-891, November.
    3. Poskitt, D.S. & Grose, Simone D. & Martin, Gael M., 2015. "Higher-order improvements of the sieve bootstrap for fractionally integrated processes," Journal of Econometrics, Elsevier, vol. 188(1), pages 94-110.
    4. Dmitriy Ivanov & Zaineb Yakoub, 2023. "Overview of Identification Methods of Autoregressive Model in Presence of Additive Noise," Mathematics, MDPI, vol. 11(3), pages 1-21, January.
    5. Datta Gupta, Syamantak & Mazumdar, Ravi R. & Glynn, Peter, 2013. "On the convergence of the spectrum of finite order approximations of stationary time series," Journal of Multivariate Analysis, Elsevier, vol. 121(C), pages 1-21.
    6. ChaeWon Baek & Byoungchan Lee, 2022. "A Guide to Autoregressive Distributed Lag Models for Impulse Response Estimations," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(5), pages 1101-1122, October.
    7. D.S. Poskitt & Gael M. Martin & Simone D. Grose, 2012. "Bias Reduction of Long Memory Parameter Estimators via the Pre-filtered Sieve Bootstrap," Monash Econometrics and Business Statistics Working Papers 8/12, Monash University, Department of Econometrics and Business Statistics.
    8. Camba-Méndez, Gonzalo, 2020. "On the inflation risks embedded in sovereign bond yields," Working Paper Series 2423, European Central Bank.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cup:etheor:v:10:y:1994:i:05:p:884-899_00. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kirk Stebbing (email available below). General contact details of provider: https://www.cambridge.org/ect .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.