Forecasting VARMA processes using VAR models and subspace-based state space models
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References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Jean-Marie Dufour & Tarek Jouini, 2011. "Asymptotic Distributions for Some Quasi-Efficient Estimators in Echelon VARMA Models," CIRANO Working Papers 2011s-25, CIRANO.
More about this item
Keywordssubspace algorithms; VAR; forecasting; cointegration; Johansen; CCA;
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ECM-2007-08-08 (Econometrics)
- NEP-ETS-2007-08-08 (Econometric Time Series)
- NEP-FOR-2007-08-08 (Forecasting)
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