Comparing the CCA Subspace Method to Pseudo Maximum Likelihood Methods in the case of No Exogenous Inputs
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- Kascha, Christian & Mertens, Karel, 2009. "Business cycle analysis and VARMA models," Journal of Economic Dynamics and Control, Elsevier, vol. 33(2), pages 267-282, February.
- Christian Kascha, 2007. "A Comparison of Estimation Methods for Vector Autoregressive Moving-Average Models," Economics Working Papers ECO2007/12, European University Institute.
- Bauer, Dietmar, 2008.
"Using Subspace Methods For Estimating Arma Models For Multivariate Time Series With Conditionally Heteroskedastic Innovations,"
Cambridge University Press, vol. 24(04), pages 1063-1092, August.
- Dietmar Bauer, 2004. "Using Subspace Methods for Estimating ARMA Models for Multivariate Time Series with Conditionally Heteroskedastic Innovations," Cowles Foundation Discussion Papers 1452, Cowles Foundation for Research in Economics, Yale University.
- Alfredo García‐Hiernaux, 2011.
"Forecasting linear dynamical systems using subspace methods,"
Journal of Time Series Analysis,
Wiley Blackwell, vol. 32(5), pages 462-468, September.
- Alfredo García-Hiernaux, 2009. "Forecasting linear dynamical systems using subspace methods," Documentos de Trabajo del ICAE 2009-02, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Izquierdo, Segismundo S. & Hernández, Cesáreo & del Hoyo, Juan, 2006. "Forecasting VARMA processes using VAR models and subspace-based state space models," MPRA Paper 4235, University Library of Munich, Germany.
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