Advanced Search
MyIDEAS: Login

Exact maximum likelihood estimation of structured or unit root multivariate time series models

Contents:

Author Info

  • Melard, Guy
  • Roy, Roch
  • Saidi, Abdessamad
Registered author(s):

    Abstract

    No abstract is available for this item.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://www.sciencedirect.com/science/article/B6V8V-4GNKKFX-2/2/16c181c8c14635ff105bef9f28de9331
    Download Restriction: Full text for ScienceDirect subscribers only.

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Bibliographic Info

    Article provided by Elsevier in its journal Computational Statistics & Data Analysis.

    Volume (Year): 50 (2006)
    Issue (Month): 11 (July)
    Pages: 2958-2986

    as in new window
    Handle: RePEc:eee:csdana:v:50:y:2006:i:11:p:2958-2986

    Contact details of provider:
    Web page: http://www.elsevier.com/locate/csda

    Related research

    Keywords:

    References

    References listed on IDEAS
    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.:
    as in new window
    1. 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.
    2. D. Poskitt & H. Lütkepohl, 1995. "Consistent Specification of Cointegrated Autoregressive Moving-Average Systems," SFB 373 Discussion Papers 1995,54, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    3. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March.
    4. DUFOUR, Jean-Marie & JOUINI, Tarek, 2005. "Asymptotic Distribution of a Simple Linear Estimator for VARMA Models in Echelon Form," Cahiers de recherche 10-2005, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    5. Mittnik, Stefan, 1991. "Derivation of the unconditional state-covariance matrix for exact maximum-likelihood estimation of ARMA models," Journal of Economic Dynamics and Control, Elsevier, vol. 15(4), pages 731-740, October.
    6. Bartel, Holger & Lütkepohl, Helmut, 1997. "Estimating the Kronecker indices of cointegrated echelon form VARMA models," SFB 373 Discussion Papers 1997,2, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    7. repec:wop:humbsf:1995-54 is not listed on IDEAS
    8. 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.
    9. Jean-Marie Dufour & Tarek Jouini, 2005. "Asymptotic distribution of a simple linear estimator for VARMA models in echelon form," CIRANO Working Papers 2005s-06, CIRANO.
    10. repec:wop:humbsf:1997-2 is not listed on IDEAS
    11. 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.
    12. Solo, Victor, 1984. "The exact likelihood for a multivariate ARMA model," Journal of Multivariate Analysis, Elsevier, vol. 15(2), pages 164-173, October.
    Full references (including those not matched with items on IDEAS)

    Citations

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

    Cited by:
    1. Christian Kascha & Karel Mertens, 2006. "Business Cycle Analysis and VARMA models," Economics Working Papers ECO2006/37, European University Institute.
    2. José Casals Carro & Alfredo García-Hiernaux & Miguel Jerez, 2010. "From general State-Space to VARMAX models," Documentos del Instituto Complutense de Análisis Económico 1002, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:eee:csdana:v:50:y:2006:i:11:p:2958-2986

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wendy Shamier).

    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.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with 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 profile, as there may be some citations waiting for confirmation.

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