Modeling of time series arrays by multistep prediction or likelihood methods
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References listed on IDEAS
- Dahlhaus, R. & Pötscher, B. M., 1989. "Convergence results for maximum likelihood type estimators in multivariable ARMA models II," Journal of Multivariate Analysis, Elsevier, vol. 30(2), pages 241-244, August.
- Pötscher, B. M., 1987. "Convergence results for maximum likelihood type estimators in multivariable ARMA models," Journal of Multivariate Analysis, Elsevier, vol. 21(1), pages 29-52, February.
- Hannan, E. J. & Dunsmuir, W. T. M. & Deistler, M., 1980. "Estimation of vector ARMAX models," Journal of Multivariate Analysis, Elsevier, vol. 10(3), pages 275-295, September.
- Findley, David F, et al, 1998. "New Capabilities and Methods of the X-12-ARIMA Seasonal-Adjustment Program," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(2), pages 127-152, April.
- Pötscher, B.M., 1991. "Noninvertibility and Pseudo-Maximum Likelihood Estimation of Misspecified ARMA Models," Econometric Theory, Cambridge University Press, vol. 7(04), pages 435-449, December.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Guillaume Chevillon, 2006. "Multi-step Forecasting in Unstable Economies: Robustness Issues in the Presence of Location Shifts," Economics Series Working Papers 257, University of Oxford, Department of Economics.
- Chevillon, Guillaume, 2016. "Multistep forecasting in the presence of location shifts," International Journal of Forecasting, Elsevier, vol. 32(1), pages 121-137.
- Chevillon, Guillaume, 2009. "Multi-step forecasting in emerging economies: An investigation of the South African GDP," International Journal of Forecasting, Elsevier, vol. 25(3), pages 602-628, July.
- Boubacar Mainassara, Y. & Francq, C., 2011.
"Estimating structural VARMA models with uncorrelated but non-independent error terms,"
Journal of Multivariate Analysis,
Elsevier, vol. 102(3), pages 496-505, March.
- Boubacar Mainassara, Yacouba & Francq, Christian, 2009. "Estimating structural VARMA models with uncorrelated but non-independent error terms," MPRA Paper 15141, University Library of Munich, Germany.
- McElroy, Tucker & Wildi, Marc, 2013. "Multi-step-ahead estimation of time series models," International Journal of Forecasting, Elsevier, vol. 29(3), pages 378-394.
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