The Identification and Parameterization of Armax and State Space Forms

DOI10.2307/1913438MaRDI QIDQ4099102zbMATH OpenOpenAlexFDO

Authors E. J. Hannan

Publication date 1976

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/1913438

Mathematics Subject Classification ID

Stochastic processes (60G99) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cited in

(30)

• Multivariate time series analysis with state space models
• Diagnostic checking in multivariate ARMA models with dependent errors using normalized residual autocorrelations
• Forecasting international growth rates with leading indicators: A system- theoretic approach
• FIML estimation of the dynamic simultaneous equations model with ARMA disturbances
• Asymptotic distributions for quasi-efficient estimators in echelon VARMA models
• Identification of DSGE models -- the effect of higher-order approximation and pruning
• Estimation and forecasting in vector autoregressive moving average models for rich datasets
• Data-based stochastic model reduction for the Kuramoto-Sivashinsky equation
• Dual time-frequency domain system identification
• The ARMA alphabet soup: a tour of ARMA model variants
• Multivariate portmanteau tests for weak multiplicative seasonal VARMA models
• Inference and model selection in general causal time series with exogenous covariates
• Large Bayesian VARMAs
• On the use of dispersion analysis for model assessment in structural identification
• IDENTIFICATION THEORY FOR VARYING COEFFICIENT REGRESSION MODELS
• ON THE IDENTIFICATION AND ESTIMATION OF NONSTATIONARY AND COINTEGRATED ARMAX SYSTEMS
• GP VERSUS GLS SPATIAL INDEX MODELS TO FORECAST SINGLE-FAMILY HOME PRICES
• ARMA models, their Kronecker indices and their McMillan degree
• Analytical uses of Kalman filtering in econometrics — A survey
• Estimation of coefficients for multiple input system models without employing common denominator structure
• Estimation of the variance of the quasi-maximum likelihood estimator of weak VARMA models
• Two canonical VARMA forms: scalar component models vis-à-vis the echelon form
• Modeling data revisions: measurement error and dynamics of ``true values
• Multivariate portmanteau test for structural VARMA models with uncorrelated but non-independent error terms
• A new look at the relationship between time-series and structural econometric models
• Sparse Identification and Estimation of Large-Scale Vector AutoRegressive Moving Averages
• Estimating structural VARMA models with uncorrelated but non-independent error terms
• Practical Methods for Modeling Weak VARMA Processes: Identification, Estimation and Specification With a Macroeconomic Application
• Extended Yule-Walker identification of VARMA models with single- or mixed-frequency data
• Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models

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