Consistent Specification of Cointegrated Autoregressive Moving-Average Systems
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- Melard, Guy & Roy, Roch & Saidi, Abdessamad, 2006.
"Exact maximum likelihood estimation of structured or unit root multivariate time series models,"
Computational Statistics & Data Analysis,
Elsevier, vol. 50(11), pages 2958-2986, July.
- Guy Melard & Roch Roy & Abdessamad Saidi, 2006. "Exact maximum likelihood estimation of structured or unit root multivariate time series models," ULB Institutional Repository 2013/13754, ULB -- Universite Libre de Bruxelles.
- DUFOUR, Jean-Marie & JOUINI, Tarek, 2005.
"Asymptotic Distribution of a Simple Linear Estimator for VARMA Models in Echelon Form,"
Cahiers de recherche
10-2005, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Jean-Marie Dufour & Tarek Jouini, 2005. "Asymptotic distribution of a simple linear estimator for VARMA models in echelon form," CIRANO Working Papers 2005s-06, CIRANO.
- DUFOUR, Jean-Marie & TAREK, Jouini, 2005. "Asymptotic Distribution of a Simple Linear Estimator for VARMA Models in Echelon Form," Cahiers de recherche 2005-09, Universite de Montreal, Departement de sciences economiques.
- Lütkepohl, Helmut, 1999. "Vector autoregressive analysis," SFB 373 Discussion Papers 1999,31, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Holger Bartel & Helmut Lutkepohl, 1998.
"Estimating the Kronecker indices of cointegrated echelon-form VARMA models,"
Royal Economic Society, vol. 1(Conferenc), pages 76-99.
- Bartel, Holger & Lütkepohl, Helmut, 1997. "Estimating the Kronecker indices of cointegrated echelon form VARMA models," SFB 373 Discussion Papers 1997,2, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Christian Kascha & Carsten Trenkler, 2011. "Cointegrated VARMA models and forecasting US interest rates," ECON - Working Papers 033, Department of Economics - University of Zurich.
- Lütkepohl, Helmut, 1999. "Vector autoregressions," SFB 373 Discussion Papers 1999,4, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Jean-Marie Dufour & Tarek Jouini, 2011. "Asymptotic Distributions for Some Quasi-Efficient Estimators in Echelon VARMA Models," CIRANO Working Papers 2011s-25, CIRANO.
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