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

DOI10.1016/j.jeconom.2017.06.022zbMath1378.62065MaRDI 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

forecasting; linear regression; VARMA; vector autoregressive moving average; asymptotic contraction mapping; iterative ordinary least squares (IOLS) estimator; rich and large datasets; weak VARMA

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62P20: Applications of statistics to economics

62M20: Inference from stochastic processes and prediction

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

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