The Properties of the Parameterization of Armax Systems and Their Relevance for Structural Estimation and Dynamic Specification

DOI10.2307/1912058MaRDI QIDQ3666099zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

consistent estimationtopological propertiesgeometric propertiesdynamic specificationmaximum lag lengthsparameterization of ARMAX systems

Mathematics Subject Classification ID

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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