Specification of Echelon-Form VARMA Models
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.
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Volume (Year): 14 (1996)
Issue (Month): 1 (January)
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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.:
- Zellner, Arnold & Palm, Franz, 1974.
"Time series analysis and simultaneous equation econometric models,"
Journal of Econometrics,
Elsevier, vol. 2(1), pages 17-54, May.
- ZELLNER, Arnold & PALM, Franz, . "Time series analysis and simultaneous equation econometric models," CORE Discussion Papers RP -173, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- repec:cup:etheor:v:8:y:1992:i:1:p:1-27 is not listed on IDEAS
- Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November.
- Saikkonen, Pentti, 1992. "Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation," Econometric Theory, Cambridge University Press, vol. 8(01), pages 1-27, March.
- Tsay, Ruey S, 1989. "Parsimonious Parameterization of Vector Autoregressive Moving Average Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 7(3), pages 327-41, July.
- Wallis, Kenneth F, 1977. "Multiple Time Series Analysis and the Final Form of Econometric Models," Econometrica, Econometric Society, vol. 45(6), pages 1481-97, September.
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