Estimation of vector ARMAX models
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- repec:eee:jmvana:v:157:y:2017:i:c:p:124-135 is not listed on IDEAS
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"Modified Whittle estimation of multilateral models on a lattice,"
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- Peter M Robinson & J Vidal Sanz, 2005. "Modified Whittle Estimation of Multilateral Models on a Lattice," STICERD - Econometrics Paper Series 492, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
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"Estimating structural VARMA models with uncorrelated but non-independent error terms,"
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- 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.
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- Pierre Duchesne, 2005. "On the asymptotic distribution of residual autocovariances in VARX models with applications," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 14(2), pages 449-473, December.
More about this item
KeywordsARMAX systems strong law central limit theorem martingale Kronecker invariants dynamical indices McMillan degree analytic manifold;
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