Asymptotic Distribution of a Simple Linear Estimator for VARMA Models in Echelon Form
| Data(s) |
22/09/2006
22/09/2006
2005
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| Resumo |
In this paper, we study the asymptotic distribution of a simple two-stage (Hannan-Rissanen-type) linear estimator for stationary invertible vector autoregressive moving average (VARMA) models in the echelon form representation. General conditions for consistency and asymptotic normality are given. A consistent estimator of the asymptotic covariance matrix of the estimator is also provided, so that tests and confidence intervals can easily be constructed. |
| Formato |
267450 bytes application/pdf |
| Identificador |
DUFOUR, Jean-Marie et TAREK, Jouini, «Asymptotic Distribution of a Simple Linear Estimator for VARMA Models in Echelon Form», Cahier de recherche #2005-09, Département de sciences économiques, Université de Montréal, 2005, 37 pages. |
| Relação |
Cahier de recherche #2005-09 |
| Palavras-Chave | #Time series #VARMA #stationary #invertible #echelon form #estimation #asymptotic normality #bootstrap #Hannan-Rissanen #[JEL:C3] Mathematical and Quantitative Methods - Econometric Methods: Multiple; Simultaneous Equation Models; Multiple Variables; Endogenous Regressors #[JEL:C32] Mathematical and Quantitative Methods - Econometric Methods: Multiple; Simultaneous Equation Models; Multiple Variables; Endogenous Regressors - Time-Series Models #[JEL:C3] Mathématiques et méthodes quantitatives - Méthodes en économétrie; modèles à équations multiples et simultanées #[JEL:C32] Mathématiques et méthodes quantitatives - Méthodes en économétrie; modèles à équations multiples et simultanées - Modèles de séries chronologiques |
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Article |
