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Modeling of time series arrays by multistep prediction or likelihood methods

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  • Findley, David F.
  • Potscher, Benedikt M.
  • Wei, Ching-Zong

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File URL: http://www.sciencedirect.com/science/article/B6VC0-48HY0DC-2/2/905f1f52249e40bb67987d81a4b16e6e
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Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 118 (2004)
Issue (Month): 1-2 ()
Pages: 151-187

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Handle: RePEc:eee:econom:v:118:y:2004:i:1-2:p:151-187

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Web page: http://www.elsevier.com/locate/jeconom

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References

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  1. Findley, David F, et al, 1998. "New Capabilities and Methods of the X-12-ARIMA Seasonal-Adjustment Program," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(2), pages 127-52, April.
  2. Dahlhaus, R. & Pötscher, B. M., 1989. "Convergence results for maximum likelihood type estimators in multivariable ARMA models II," Journal of Multivariate Analysis, Elsevier, vol. 30(2), pages 241-244, August.
  3. Hannan, E. J. & Dunsmuir, W. T. M. & Deistler, M., 1980. "Estimation of vector ARMAX models," Journal of Multivariate Analysis, Elsevier, vol. 10(3), pages 275-295, September.
  4. Pötscher, B.M., 1991. "Noninvertibility and Pseudo-Maximum Likelihood Estimation of Misspecified ARMA Models," Econometric Theory, Cambridge University Press, vol. 7(04), pages 435-449, December.
  5. Pötscher, B. M., 1987. "Convergence results for maximum likelihood type estimators in multivariable ARMA models," Journal of Multivariate Analysis, Elsevier, vol. 21(1), pages 29-52, February.
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Cited by:
  1. Boubacar Mainassara, Y. & Francq, C., 2011. "Estimating structural VARMA models with uncorrelated but non-independent error terms," Journal of Multivariate Analysis, Elsevier, vol. 102(3), pages 496-505, March.
  2. Guillaume Chevillon, 2006. "Multi-step Forecasting in Unstable Economies: Robustness Issues in the Presence of Location Shifts," Economics Series Working Papers 257, University of Oxford, Department of Economics.
  3. Chevillon, Guillaume, 2009. "Multi-step forecasting in emerging economies: An investigation of the South African GDP," International Journal of Forecasting, Elsevier, vol. 25(3), pages 602-628, July.
  4. McElroy, Tucker & Wildi, Marc, 2013. "Multi-step-ahead estimation of time series models," International Journal of Forecasting, Elsevier, vol. 29(3), pages 378-394.

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