Some Results on the Identification and Estimation of Vector ARMAX Processes
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- Poskitt, D. S. & Salau, M. O., 1994. "On the Asymptotic Relative Efficiency of Gaussian and Least Squares Estimators for Vector ARMA Models," Journal of Multivariate Analysis, Elsevier, vol. 51(2), pages 294-317, November.
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More about this item
Keywords
ARMAX model; consistency; echelon canonical form; efficiency; estimation; identification; Kronecker invariants; least squares; selection criterion; structure determination; subspace algorithm.;All these keywords.
JEL classification:
- 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
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2004-05-26 (Econometrics)
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