The Properties of the Parameterization of Armax Systems and Their Relevance for Structural Estimation and Dynamic Specification
DOI10.2307/1912058zbMATH Open0517.62090OpenAlexW2048608511MaRDI QIDQ3666099FDOQ3666099
Authors: Manfred Deistler 
Publication date: 1983
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/1912058
consistent estimationtopological propertiesgeometric propertiesdynamic specificationmaximum lag lengthsparameterization of ARMAX systems
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12)
Cited In (16)
- Identifiability and estimation of possibly non-invertible SVARMA models: the normalised canonical WHF parametrisation
- Exact modelling and identifiability of linear systems
- General results on the McMillan degree and the Kronecker indices of ARMA and MFD models
- System order and structure indices of linear systems in polynomial form
- Structural econometric modeling and time series analysis
- Properties of the parametrization of monic ARMA systems
- The behaviour of the Lagrangian multiplier test in testing the orders of an ARMA-model
- Model sets and parametrizations for identification of multivariable equation error models
- The uniqueness of the transfer function of linear systems from input- output observations
- Inference and model selection in general causal time series with exogenous covariates
- Local parametrizations of ARMAX systems with nonlinear restrictions
- Uniquely identifiable state-space and ARMA parametrizations for multivariable linear systems
- Adaptive estimation in time series regression models
- The common structure of parametrizations for linear systems
- ON THE IDENTIFICATION AND ESTIMATION OF NONSTATIONARY AND COINTEGRATED ARMAX SYSTEMS
- Comparison of H∞and state-space induced quotient topologies on stable minimal systems
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