Identification Results for Armax Structures

DOI10.2307/1911964zbMATH Open0445.62117OpenAlexW2062391956MaRDI QIDQ3889982FDOQ3889982

Authors: Robert Kohn 

Publication date: 1979

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1911964

zbMATH Keywords

multiple time seriessimultaneous equation modelsidentification conditionsArmax models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Inference from stochastic processes and spectral analysis (62M15)

Cited In (3)

• IDENTIFICATION THEORY FOR VARYING COEFFICIENT REGRESSION MODELS
• Identification and estimation of non-Gaussian structural vector autoregressions
• Optimized regression models for time series

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