On The Relationship Between Generalized Least Squares And Gaussian Estimation Of Vector Arma Models
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DOI: 10.1111/j.1467-9892.1995.tb00259.x
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References listed on IDEAS
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Cited by:
- Salau, M. O., 1998. "Efficient computation of zeros of the moving average operator with real matricial coefficients," SFB 373 Discussion Papers 1998,46, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Pierre Duchesne & Pierre Lafaye de Micheaux, 2013. "Distributions for residual autocovariances in parsimonious periodic vector autoregressive models with applications," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(4), pages 496-507, July.
- Poskitt, D. S., 2003. "On the specification of cointegrated autoregressive moving-average forecasting systems," International Journal of Forecasting, Elsevier, vol. 19(3), pages 503-519.
- M. Salau, 2003. "The effects of different choices of order for autoregressive approximation on the Gaussian likelihood estimates for ARMA models," Statistical Papers, Springer, vol. 44(1), pages 89-105, January.
- Dufour, Jean-Marie & Jouini, Tarek, 2014.
"Asymptotic distributions for quasi-efficient estimators in echelon VARMA models,"
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- Jean-Marie Dufour & Tarek Jouini, 2015. "Asymptotic distributions for quasi-efficient estimators in echelon VARMA models," CIRANO Working Papers 2015s-26, CIRANO.
- Jean-Marie Dufour & Tarek Jouini, 2011. "Asymptotic Distributions for Some Quasi-Efficient Estimators in Echelon VARMA Models," CIRANO Working Papers 2011s-25, CIRANO.
- Ursu, Eugen & Duchesne, Pierre, 2009. "On multiplicative seasonal modelling for vector time series," Statistics & Probability Letters, Elsevier, vol. 79(19), pages 2045-2052, October.
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