A Comparison of Estimation Methods for Vector Autoregressive Moving-Average Models
DOI10.1080/07474938.2011.607343zbMATH Open1491.62105OpenAlexW2004301780MaRDI QIDQ5080149FDOQ5080149
Authors: Christian Kascha 
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
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Inference from stochastic processes and prediction (62M20)
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Cited In (13)
- ESTIMATION OF THE VECTOR MOVING AVERAGE MODEL BY VECTOR AUTOREGRESSION
- A simple nearly unbiased estimator of cross-covariances
- Asymptotic distributions for quasi-efficient estimators in echelon VARMA models
- An effectiveness study of the Bayesian inference with multivariate autoregressive moving average processes
- The Effect of Misspecification in Vector Autoregressive Moving Average Models on Parameter Estimation and Forecasting
- Vector autoregressive moving average identification for macroeconomic modeling: a new methodology
- Vector moving average models
- Bayesian modeling and forecasting of vector autoregressive moving average processes
- On the estimation problem of periodic autoregressive time series: symmetric and asymmetric innovations
- Correcting the bias of the sample cross‐covariance estimator
- Sparse Identification and Estimation of Large-Scale Vector AutoRegressive Moving Averages
- Estimation and forecasting in vector autoregressive moving average models for rich datasets
- FAST LINEAR ESTIMATION METHODS FOR VECTOR AUTOREGRESSIVE MOVING-AVERAGE MODELS
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