Exact maximum likelihood estimation of structured or unit root multivariate time series models
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- Nsiri, Saïd & Roy, Roch, 1996. "Identification of Refined ARMA Echelon Form Models for Multivariate Time Series," Journal of Multivariate Analysis, Elsevier, vol. 56(2), pages 207-231, February.
- Reinsel, Greg, 1979. "FIML estimation of the dynamic simultaneous equations model with ARMA disturbances," Journal of Econometrics, Elsevier, vol. 9(3), pages 263-281, February.
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- 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.
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- DUFOUR, Jean-Marie & JOUINI, Tarek, 2005. "Asymptotic Distribution of a Simple Linear Estimator for VARMA Models in Echelon Form," Cahiers de recherche 10-2005, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- DUFOUR, Jean-Marie & TAREK, Jouini, 2005. "Asymptotic Distribution of a Simple Linear Estimator for VARMA Models in Echelon Form," Cahiers de recherche 2005-09, Universite de Montreal, Departement de sciences economiques.
- Dinh Tuan Pham & Roch Roy & Lyne Cédras, 2003. "Tests for non-correlation of two cointegrated ARMA time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(5), pages 553-577, 09.
- Ansley, Craig F. & Newbold, Paul, 1980. "Finite sample properties of estimators for autoregressive moving average models," Journal of Econometrics, Elsevier, vol. 13(2), pages 159-183, June.
- Bartel, Holger & Lütkepohl, Helmut, 1997.
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1997,2, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Holger Bartel & Helmut Lutkepohl, 1998. "Estimating the Kronecker indices of cointegrated echelon-form VARMA models," Econometrics Journal, Royal Economic Society, vol. 1(Conferenc), pages C76-C99.
- Mittnik, Stefan, 1991. "Derivation of the unconditional state-covariance matrix for exact maximum-likelihood estimation of ARMA models," Journal of Economic Dynamics and Control, Elsevier, vol. 15(4), pages 731-740, October.
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