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On The Identification And Estimation Of Nonstationary And Cointegrated Armax Systems

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  • Poskitt, D.S.

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  • Poskitt, D.S., 2006. "On The Identification And Estimation Of Nonstationary And Cointegrated Armax Systems," Econometric Theory, Cambridge University Press, vol. 22(06), pages 1138-1175, December.
  • Handle: RePEc:cup:etheor:v:22:y:2006:i:06:p:1138-1175_06
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    Cited by:

    1. D.S. Poskitt, 2009. "Vector Autoregresive Moving Average Identification for Macroeconomic Modeling: Algorithms and Theory," Monash Econometrics and Business Statistics Working Papers 12/09, Monash University, Department of Econometrics and Business Statistics.
    2. Poskitt, D.S., 2016. "Vector autoregressive moving average identification for macroeconomic modeling: A new methodology," Journal of Econometrics, Elsevier, vol. 192(2), pages 468-484.
    3. Christian Kascha & Carsten Trenkler, 2011. "Cointegrated VARMA models and forecasting US interest rates," ECON - Working Papers 033, Department of Economics - University of Zurich.

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