Asymptotic tests on moving average representation coefficients with an application to innovations on spot and forward exchange rates

DOI10.1016/0165-1765(83)90086-1MaRDI QIDQ374865zbMATH OpenOpenAlexFDO

Authors Richard T. Baillie

Publication date 24 October 2013

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0165-1765(83)90086-1

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)

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Cites work

• Prediction from the Dynamic Simultaneous Equation Model with Vector Autoregressive Errors

Cited in

(5)

• scientific article; zbMATH DE number 807773 (Why is no real title available?)
• Asymmetric vector moving average models: estimation and testing
• Inference in dynamic models containing 'surprise' variables
• Testing for fundamental vector moving average representations
• Econometric analysis of present value models when the discount factor is near one

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