Exact maximum likelihood estimation of structured or unit root multivariate time series models
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Bibliographic InfoArticle provided by Elsevier in its journal Computational Statistics & Data Analysis.
Volume (Year): 50 (2006)
Issue (Month): 11 (July)
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Web page: http://www.elsevier.com/locate/csda
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Nsiri, Saïd & Roy, Roch, 1996. "Identification of Refined ARMA Echelon Form Models for Multivariate Time Series," Journal of Multivariate Analysis, Elsevier, vol. 56(2), pages 207-231, February.
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1997,2, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
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- Reinsel, Greg, 1979. "FIML estimation of the dynamic simultaneous equations model with ARMA disturbances," Journal of Econometrics, Elsevier, vol. 9(3), pages 263-281, February.
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CIRANO Working Papers
- DUFOUR, Jean-Marie & TAREK, Jouini, 2005. "Asymptotic Distribution of a Simple Linear Estimator for VARMA Models in Echelon Form," Cahiers de recherche 2005-09, Universite de Montreal, Departement de sciences economiques.
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- Ansley, Craig F. & Newbold, Paul, 1980. "Finite sample properties of estimators for autoregressive moving average models," Journal of Econometrics, Elsevier, vol. 13(2), pages 159-183, June.
- Solo, Victor, 1984. "The exact likelihood for a multivariate ARMA model," Journal of Multivariate Analysis, Elsevier, vol. 15(2), pages 164-173, October.
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"Business Cycle Analysis and VARMA models,"
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- José Casals Carro & Alfredo García-Hiernaux & Miguel Jerez, 2010. "From general State-Space to VARMAX models," Documentos del Instituto Complutense de AnÃ¡lisis EconÃ³mico 1002, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
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