Identifying the time-effect factors of multiple time series
The Pena-Box model is considered for finding the time-effect factors of a multiple time series. This paper first establishes the connection between the Pena-Box model and the vector ARMA model. According to the Pena-Box model, some series can be ignored while modelling the vector ARMA model. A consistent estimator is then proposed to identify the model for nonlinear and nonstationary time series. Finally, the finite-sample behaviour of the estimator is illustrated via simulations. Copyright © 2005 John Wiley & Sons, Ltd.
Volume (Year): 24 (2005)
Issue (Month): 5 ()
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- Jushan Bai & Serena Ng, 2002.
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