Estimating structural VARMA models with uncorrelated but non-independent error terms

DOI10.1016/J.JMVA.2010.10.009zbMATH Open1207.62168OpenAlexW2132407418MaRDI QIDQ631613FDOQ631613

Authors: Y. Boubacar Mainassara, C. Francq 

Publication date: 14 March 2011

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2010.10.009

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zbMATH Keywords

asymptotic normalityQMLEnonlinear processesstructural representationVARMA models

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12)

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Cited In (29)

• Asymptotic distributions for quasi-efficient estimators in echelon VARMA models
• Multivariate portmanteau tests of the adequacy of weak VARMA models.
• Portmanteau tests for periodic ARMA models with dependent errors
• Diagnostic checking in multivariate ARMA models with dependent errors using normalized residual autocorrelations
• Estimating the orders of weak multivariate ARMA models
• Codependent VAR models and the pseudo-structural form
• Quasi-maximum likelihood estimation for cointegrated continuous-time linear state space models observed at low frequencies
• Estimating FARIMA models with uncorrelated but non-independent error terms
• Modified Schwarz and Hannan-Quinn information criteria for weak VARMA models
• Multivariate portmanteau tests for weak multiplicative seasonal VARMA models
• Identification of structural VAR models via independent component analysis: a performance evaluation study
• Estimation of the variance of the quasi-maximum likelihood estimator of weak VARMA models
• Estimating the asymptotic variance matrix of the QMLE of weak multivariate ARMA models
• Estimating weak periodic vector autoregressive time series
• Distribution of residual autocorrelations for multiplicative seasonal ARMA models with uncorrelated but nonindependent error terms
• Goodness-of-fit tests for SPARMA models with dependent error terms
• Identification and Estimation of Structural VARMA Models Using Higher Order Dynamics
• An identification and testing strategy for proxy-SVARs with weak proxies
• Semi-strong linearity testing in linear models with dependent but uncorrelated errors
• Asymmetric heavy-tailed vector auto-regressive processes with application to financial data
• INCONSISTENT VAR REGRESSION WITH COMMON EXPLOSIVE ROOTS
• Multistep ahead forecasting of vector time series
• Chi-squared portmanteau tests for structural VARMA models with uncorrelated errors
• Quasi maximum likelihood estimation for strongly mixing state space models and multivariate Lévy-driven CARMA processes
• Diagnostic checking of periodic vector autoregressive time series models with dependent errors
• Inference in VARs with conditional heteroskedasticity of unknown form
• Multivariate portmanteau test for structural VARMA models with uncorrelated but non-independent error terms
• Distributions for residual autocovariances in parsimonious periodic vector autoregressive models with applications
• Selection of weak VARMA models by modified Akaike's information criteria

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