A Comparison of Estimation Methods for Vector Autoregressive Moving-Average Models
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Publication:5080149
DOI10.1080/07474938.2011.607343zbMath1491.62105OpenAlexW2004301780MaRDI QIDQ5080149
Publication date: 31 May 2022
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/1814/6921
Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Related Items (9)
Vector autoregressive moving average identification for macroeconomic modeling: a new methodology ⋮ Asymptotic distributions for quasi-efficient estimators in echelon VARMA models ⋮ Estimation and forecasting in vector autoregressive moving average models for rich datasets ⋮ On the estimation problem of periodic autoregressive time series: symmetric and asymmetric innovations ⋮ Bayesian modeling and forecasting of vector autoregressive moving average processes ⋮ An effectiveness study of the Bayesian inference with multivariate autoregressive moving average processes ⋮ Correcting the bias of the sample cross‐covariance estimator ⋮ Sparse Identification and Estimation of Large-Scale Vector AutoRegressive Moving Averages ⋮ A simple nearly unbiased estimator of cross‐covariances
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