Estimation and forecasting in vector autoregressive moving average models for rich datasets

DOI10.1016/j.jeconom.2017.06.022zbMath1378.62065OpenAlexW3124325636MaRDI QIDQ1680191

George Kapetanios, Gustavo Fruet Dias

Publication date: 23 November 2017

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://ueaeprints.uea.ac.uk/id/eprint/72417/1/VARMA_JoE_May17.pdf

zbMATH Keywords

forecastinglinear regressionVARMAvector autoregressive moving averageasymptotic contraction mappingiterative ordinary least squares (IOLS) estimatorrich and large datasetsweak VARMA

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (3)

High-Dimensional Vector Autoregressive Time Series Modeling via Tensor Decomposition ⋮ Sequential monitoring of high‐dimensional time series ⋮ Sparse Identification and Estimation of Large-Scale Vector AutoRegressive Moving Averages

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