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