A note on an iterative least-squares estimation method for ARMA and VARMA models
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 79 (2003)
Issue (Month): 3 (June)
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Web page: http://www.elsevier.com/locate/ecolet
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- Christian Kascha, 2007. "A Comparison of Estimation Methods for Vector Autoregressive Moving-Average Models," Economics Working Papers ECO2007/12, European University Institute.
- Jean-Marie Dufour & Tarek Jouini, 2011. "Asymptotic Distributions for Some Quasi-Efficient Estimators in Echelon VARMA Models," CIRANO Working Papers 2011s-25, CIRANO.
- Christian Kascha & Karel Mertens, 2006.
"Business Cycle Analysis and VARMA models,"
Economics Working Papers
ECO2006/37, European University Institute.
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