Exact maximum likelihood estimation of partially nonstationary vector ARMA models

DOI10.1016/J.CSDA.2005.07.012MaRDI QIDQ959448zbMATH OpenOpenAlexFDO

Authors José Alberto Mauricio

Publication date 11 December 2008

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.csda.2005.07.012

zbMATH Keywords

unit rootscointegrationexact maximum likelihood estimationpartially nonstationary modelvector autoregressive moving average modelvector error-correction model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12)

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Cites work

• scientific article; zbMATH DE number 3878206 (Why is no real title available?)
• scientific article; zbMATH DE number 1113920 (Why is no real title available?)
• scientific article; zbMATH DE number 957960 (Why is no real title available?)
• A canonical analysis of multiple time series
• A fast algorithm for the exact likelihood of stationary and partially nonstationary vector autoregressive-moving average processes
• An algorithm for the exact likelihood of a stationary vector autoregressive‐moving average model
• Analysis of cointegrated VARMA processes
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Elements of multivariate time series analysis.
• Estimating cointegrated systems using subspace algorithms
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• Estimation and Testing for Unit Roots in a Partially Nonstationary Vector Autoregressive Moving Average Model
• Estimation for Partially Nonstationary Multivariate Autoregressive Models
• Exact Maximum Likelihood Estimation of Stationary Vector ARMA Models
• Exact maximum likelihood estimation of structured or unit root multivariate time series models
• Miscellanea. On the exact likelihood function of a multivariate autoregressive moving average model
• Optimal Inference in Cointegrated Systems
• Statistical analysis of cointegration vectors
• THE RANK OF A SUBMATRIX OF COINTEGRATION
• Testing cointegration in infinite order vector autoregressive processes
• Tests for non-correlation of two cointegrated ARMA time series
• The Exact Likelihood Function of a Vector Autoregressive Moving Average Model
• The asymptotic variance of the estimated roots in a cointegrated vector autoregressive model
• VECTOR AUTOREGRESSIVE MODELS WITH UNIT ROOTS AND REDUCED RANK STRUCTURE:ESTIMATION. LIKELIHOOD RATIO TEST, AND FORECASTING

Cited in

(10)

• Quantum prediction GJR model and its applications
• Asymptotic distributions for quasi-efficient estimators in echelon VARMA models
• Whittle parameter estimation for vector ARMA models with heavy-tailed noises
• On the estimation problem of periodic autoregressive time series: symmetric and asymmetric innovations
• Computing and using residuals in time series models
• The exact Gaussian likelihood estimation of time-dependent VARMA models
• Approximate predictor and filter for partially observed vector ARMA processes
• Estimation for Partially Nonstationary Multivariate Autoregressive Models
• Cointegrated VARIMA Models: Specification and Simulation
• Exact maximum likelihood estimation of structured or unit root multivariate time series models

Describes a project that uses

Uses Software

• AS 311

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