Var_based Estimation Of The Vector Moving Average Model And Links Between Wholesale And Retail Inventories
AbstractWe examine a simple estimator for the multivariate moving average model based on vector autoregressive approximation. In finite samples the estimator has a bias which is low where roots of the determinantal equation are well away from the unit circle, and more substantial where one or more roots have modulus near unity. We also examine the sacrifice involved in specifying a vector model for processes which are in fact univariate, and show that the representation estimated by this multivariate technique is asymptotically invertible. This estimator has significant computational advantages over Maximum Likelihood. Moreover, as reported by Galbraith and Zinde-Walsh (1994) for the special case of the univariate model, this estimator can be more robust to mis-specification than ML. The estimation method is applied to a VMA model of wholesale and retail inventories, using Canadian data on overall aggregate, non-durable and durable inventory investment, and allows us to examine the propagation of shocks between the two classes of inventory.
Download InfoTo our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Bibliographic InfoPaper provided by McGill University, Department of Economics in its series Departmental Working Papers with number 1999-03.
Length: 20 pages
Date of creation: Jan 1999
Date of revision:
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Shama Rangwala) The email address of this maintainer does not seem to be valid anymore. Please ask Shama Rangwala to update the entry or send us the correct address.
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.