A Comparison of Estimation Methods for Vector Autoregressive Moving-Average Models
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More about this item
KeywordsVARMA Models; Estimation Algorithms; Forecasting;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2007-07-07 (All new papers)
- NEP-ECM-2007-07-07 (Econometrics)
- NEP-ETS-2007-07-07 (Econometric Time Series)
- NEP-FOR-2007-07-07 (Forecasting)
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