Analysis of cointegrated VARMA processes

DOI10.1016/S0304-4076(97)00035-3zbMATH Open0915.62096MaRDI QIDQ1371369FDOQ1371369

Authors: Holger Claessen, Helmut Lütkepohl 

Publication date: 28 October 1997

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

Recommendations

• Forecasting cointegrated VARMA processes
• Cointegration: Overview and Development
• Statistical analysis of cointegration vectors
• THE COINTEGRATION PROPERTIES OF VECTOR AUTOREGRESSION MODELS
• Estimating cointegrated systems using subspace algorithms

zbMATH Keywords

cointegrationechelon formerror correction modelKronecker indicesvector autoregressive moving average

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Cites Work

• Title not available (Why is that?)
• Statistical Inference in Instrumental Variables Regression with I(1) Processes
• Title not available (Why is that?)
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors
• Title not available (Why is that?)
• Statistical analysis of cointegration vectors
• Optimal Inference in Cointegrated Systems
• Fully Modified Least Squares and Vector Autoregression
• Inference in Linear Time Series Models with some Unit Roots
• Testing for Common Trends
• Title not available (Why is that?)
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• Testing cointegration in infinite order vector autoregressive processes
• Estimation and Testing for Unit Roots in a Partially Nonstationary Vector Autoregressive Moving Average Model
• Comparisons of tests for multivariate cointegration
• Markovian representation of stochastic processes and its application to the analysis of autoregressive moving average processes
• Estimation of nonstationary ARMAX models based on the Hannan-Rissanen method

Cited In (24)

• Cointegrated continuous-time linear state-space and MCARMA models
• Exact maximum likelihood estimation of partially nonstationary vector ARMA models
• Extreme Spectra of Var Models and Orders of Near‐Cointegration
• Quasi-maximum likelihood estimation for cointegrated continuous-time linear state space models observed at low frequencies
• Wage formation and employment in a cointegrated VAR model
• Structural vector autoregressive analysis for cointegrated variables
• Title not available (Why is that?)
• Cointegration analysis with state space models
• Recent Advances in Cointegration Analysis
• Estimating cointegrated systems using subspace algorithms
• Studying co-movements in large multivariate data prior to multivariate modelling
• Speed of adjustment in cointegrated systems
• Practical Methods for Modeling Weak VARMA Processes: Identification, Estimation and Specification With a Macroeconomic Application
• Haavelmo's probability approach and the cointegrated VAR
• Two canonical VARMA forms: scalar component models vis-à-vis the echelon form
• Cointegration in VAR(1) process. Characterization and testing
• Forecasting cointegrated VARMA processes
• DISCRETE TIME REPRESENTATIONS OF COINTEGRATED CONTINUOUS TIME MODELS WITH MIXED SAMPLE DATA
• Reduced forms and incomplete models in the cointegration analysis. The case of the NAIRU
• ON THE IDENTIFICATION AND ESTIMATION OF NONSTATIONARY AND COINTEGRATED ARMAX SYSTEMS
• On the structure of cointegration
• Cointegrated VARIMA Models: Specification and Simulation
• THE COINTEGRATION PROPERTIES OF VECTOR AUTOREGRESSION MODELS
• Modeling assets and liabilities of a finnish pension insurance company: a VEqC approach

This page was built for publication: Analysis of cointegrated VARMA processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1371369)