Estimation Of The Vector Moving Average Model By Vector Autoregression
We examine a simple estimator for the multivariate moving average model based on vector autoregressive approximation. In finite samples the estimator has a bias which is low where roots of the characteristic equation are well away from the unit circle, and more substantial where one or more roots have modulus near unity. We show that the representation estimated by this multivariate technique is consistent and asymptotically invertible. This estimator has significant computational advantages over Maximum Likelihood, and more importantly may be more robust than ML to mis-specification of the vector moving average model. The estimation method is applied to a VMA model of wholesale and retail inventories, using Canadian data on inventory investment, and allows us to examine the propagation of shocks between the two classes of inventory.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 21 (2002)
Issue (Month): 2 ()
|Contact details of provider:|| Web page: http://www.tandfonline.com/LECR20|
|Order Information:||Web: http://www.tandfonline.com/pricing/journal/LECR20|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Lütkepohl, Helmut, 1988. "Asymptotic Distribution of the Moving Average Coefficients of an Estimated Vector Autoregressive Process," Econometric Theory, Cambridge University Press, vol. 4(01), pages 77-85, April.
- Lewis, Richard & Reinsel, Gregory C., 1985. "Prediction of multivariate time series by autoregressive model fitting," Journal of Multivariate Analysis, Elsevier, vol. 16(3), pages 393-411, June.
- Lütkepohl, Helmut & Poskitt, D.S., 1991. "Estimating Orthogonal Impulse Responses via Vector Autoregressive Models," Econometric Theory, Cambridge University Press, vol. 7(04), pages 487-496, December.
- repec:cup:etheor:v:7:y:1991:i:4:p:487-96 is not listed on IDEAS
When requesting a correction, please mention this item's handle: RePEc:taf:emetrv:v:21:y:2002:i:2:p:205-219. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ()
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.