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Specification of Echelon-Form VARMA Models

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  • Lutkepohl, Helmut
  • Poskitt, D S

Abstract

The echelon form of a vector autoregressive moving average (VARMA) model is considered. Its advantages over other identified VARMA representations are discussed. Furthermore, a general strategy for specifying echelon form VARMA models from data is presented. Specifically, procedures for choosing the Kronecker indices that characterize an echelon form are reviewed. The feasibility of the method is demonstrated by analyzing a well-known set of flour price time series and the term structure of German interest rates.

Suggested Citation

  • Lutkepohl, Helmut & Poskitt, D S, 1996. "Specification of Echelon-Form VARMA Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(1), pages 69-79, January.
  • Handle: RePEc:bes:jnlbes:v:14:y:1996:i:1:p:69-79
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    References listed on IDEAS

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    1. Saikkonen, Pentti, 1992. "Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation," Econometric Theory, Cambridge University Press, vol. 8(1), pages 1-27, March.
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    9. Howard Grubb, 1992. "A Multivariate Time Series Analysis of Some Flour Price Data," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 41(1), pages 95-107, March.
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