Asymptotic Properties of QML Estimators for VARMA Models with Time-Dependent Coefficients
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- Abdelkamel Alj & Rajae Azrak & Christophe Ley & Guy Melard, 2016. "Technical Appendix to Asymptotic Properties of QML Estimators for VARMA Models with Time-Dependent Coefficients," Working Papers ECARES ECARES 2016-42, ULB -- Universite Libre de Bruxelles.
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Keywordsnon-stationary process; multivariate time series; time-varying models;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2017-01-01 (All new papers)
- NEP-ECM-2017-01-01 (Econometrics)
- NEP-ETS-2017-01-01 (Econometric Time Series)
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