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Exact maximum likelihood estimation of structured or unit root multivariate time series models

  • Melard, Guy
  • Roy, Roch
  • Saidi, Abdessamad
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    File URL: http://www.sciencedirect.com/science/article/pii/S0167-9473(05)00139-8
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    Article provided by Elsevier in its journal Computational Statistics & Data Analysis.

    Volume (Year): 50 (2006)
    Issue (Month): 11 (July)
    Pages: 2958-2986

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    Handle: RePEc:eee:csdana:v:50:y:2006:i:11:p:2958-2986
    Contact details of provider: Web page: http://www.elsevier.com/locate/csda

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    1. Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 39(3), pages 106-135.
    2. 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.
    3. 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.
    4. 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.
    5. D. Poskitt & H. Lütkepohl, 1995. "Consistent Specification of Cointegrated Autoregressive Moving-Average Systems," SFB 373 Discussion Papers 1995,54, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    6. 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.
    7. 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.
    8. 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.
    9. 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.
    10. 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.
    11. Solo, Victor, 1984. "The exact likelihood for a multivariate ARMA model," Journal of Multivariate Analysis, Elsevier, vol. 15(2), pages 164-173, October.
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