ON THE IDENTIFICATION AND ESTIMATION OF NONSTATIONARY AND COINTEGRATED ARMAX SYSTEMS

DOI10.1017/S0266466606060543MaRDI QIDQ3434193zbMATH OpenOpenAlexFDO

Authors D. S. Poskitt

Publication date 23 April 2007

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0266466606060543

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Non-Markovian processes: estimation (62M09) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Estimation for Partially Nonstationary Multivariate Autoregressive Models
• Analysis of cointegrated VARMA processes
• Statistical analysis of cointegration vectors
• Estimation and Testing for Unit Roots in a Partially Nonstationary Vector Autoregressive Moving Average Model
• Estimation of nonstationary ARMAX models based on the Hannan-Rissanen method

Cites work

• A Factorization problem and the problem of predicting non-stationary vector-valued stochastic processes
• Analysis of cointegrated VARMA processes
• ARMA models, their Kronecker indices and their McMillan degree
• Asymptotics for linear processes
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Cointegration and Dynamic Simultaneous Equations Model
• Diagnostic tests for multiple time series models
• 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
• Exogeneity
• Identification of echelon canonical forms for vector linear processes using least squares
• Interpreting cointegrating vectors and common stochastic trends
• Measures of Conditional Linear Dependence and Feedback Between Time Series
• On the Granger Condition for Non-Causality
• Optimal Inference in Cointegrated Systems
• Simple consistent estimation of the coefficients of a linear filter
• Stochastic theory of minimal realization
• Testing for Common Trends
• The Factorization of Matricial Spectral Densities
• The Identification and Parameterization of Armax and State Space Forms
• The Identification Problem for Multiple Equation Systems with Moving Average Errors
• The Properties of the Parameterization of Armax Systems and Their Relevance for Structural Estimation and Dynamic Specification
• The strong consistency of maximum likelihood estimators for ARMA processes

Cited in

(5)

• Vector autoregressive moving average identification for macroeconomic modeling: a new methodology
• DISCRETE TIME REPRESENTATIONS OF COINTEGRATED CONTINUOUS TIME MODELS WITH MIXED SAMPLE DATA
• Least-squares identification for ARMAX models without the positive real condition
• A tabular methodology to identify minimal row degrees for matrix Padé approximants
• Vector moving average models: a review

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