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Parameter Identification In Arma Processes In The Presence Of Regular But Incomplete Sampling

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  • Theo Nijman
  • Franz Palm

Abstract

. We discuss the parameter identification of multivariate AR (1) models and of univariate ARMA (2,1) and AR (2) models if the variables in the model are observed every mth period where m is some integer greater than unity. The results indicate that the models will often not be globally identified even if they are locally identified and that the likelihood function can have a large number of local maxima.

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  • Theo Nijman & Franz Palm, 1990. "Parameter Identification In Arma Processes In The Presence Of Regular But Incomplete Sampling," Journal of Time Series Analysis, Wiley Blackwell, vol. 11(3), pages 239-248, May.
    • Handle: RePEc:bla:jtsera:v:11:y:1990:i:3:p:239-248
    DOI: 10.1111/j.1467-9892.1990.tb00055.x
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    1. Sbrana, Giacomo & Silvestrini, Andrea, 2013. "Aggregation of exponential smoothing processes with an application to portfolio risk evaluation," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1437-1450.
    2. SILVESTRINI, Andrea & VEREDAS, David, 2005. "Temporal aggregation of univariate linear time series models," LIDAM Discussion Papers CORE 2005059, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    3. Andersen, Torben G. & Bollerslev, Tim & Lange, Steve, 1999. "Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon," Journal of Empirical Finance, Elsevier, vol. 6(5), pages 457-477, December.
    4. MOULIN, Laurent & SALTO, Matteo & SILVESTRINI, Andrea & VEREDAS, David, 2004. "Using intra annual information to forecast the annual state deficits : the case of France," LIDAM Discussion Papers CORE 2004048, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    5. van der Ploeg, F. & de Zeeuw, A.J., 1992. "A differential game of international pollution control," Other publications TiSEM 63432fbc-f558-422b-93d9-4, Tilburg University, School of Economics and Management.
    6. Bekaert, Geert, 1996. "The Time Variation of Risk and Return in Foreign Exchange Markets: A General Equilibrium Perspective," The Review of Financial Studies, Society for Financial Studies, vol. 9(2), pages 427-470.
    7. Bollerslev, Tim & Wright, Jonathan H., 2000. "Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data," Journal of Econometrics, Elsevier, vol. 98(1), pages 81-106, September.
    8. Röell, A.A., 1991. "Dual capacity trading and the quality of the market," Other publications TiSEM 962c4eef-72ca-4ada-bb51-e, Tilburg University, School of Economics and Management.

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