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Parsimonious Parameterization of Vector Autoregressive Moving Average Models

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  • Tsay, Ruey S

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  • Tsay, Ruey S, 1989. "Parsimonious Parameterization of Vector Autoregressive Moving Average Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 7(3), pages 327-341, July.
    • Handle: RePEc:bes:jnlbes:v:7:y:1989:i:3:p:327-41
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    Cited by:

    1. Jean-Marie Dufour & Tarek Jouini, 2011. "Asymptotic Distributions for Some Quasi-Efficient Estimators in Echelon VARMA Models," CIRANO Working Papers 2011s-25, CIRANO.
    2. Melard, Guy & Roy, Roch & Saidi, Abdessamad, 2006. "Exact maximum likelihood estimation of structured or unit root multivariate time series models," Computational Statistics & Data Analysis, Elsevier, vol. 50(11), pages 2958-2986, July.
    3. DUFOUR, Jean-Marie & TAREK, Jouini, 2005. "Asymptotic Distribution of a Simple Linear Estimator for VARMA Models in Echelon Form," Cahiers de recherche 2005-09, Universite de Montreal, Departement de sciences economiques.
    4. Celina Pestano & Concepción González, 1998. "A new approach in multivariate time series specification," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 4(3), pages 229-242, August.
    5. Bhansali, Rajendra J., 2020. "Model specification and selection for multivariate time series," Journal of Multivariate Analysis, Elsevier, vol. 175(C).
    6. Chen, Cathy Yi-Hsuan & Kuo, I-Doun & Chiang, Thomas C., 2014. "What explains deviations in the unbiased expectations hypothesis? Market irrationality vs. the peso problem," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 30(C), pages 172-190.
    7. Lutkepohl, Helmut & Poskitt, D S, 1996. "Specification of Echelon-Form VARMA Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(1), pages 69-79, January.
    8. George Athanasopoulos & D. Poskitt & Farshid Vahid, 2012. "Two Canonical VARMA Forms: Scalar Component Models Vis-à-Vis the Echelon Form," Econometric Reviews, Taylor & Francis Journals, vol. 31(1), pages 60-83.
    9. Otter, Pieter W., 1995. "On model reduction and multiperiod ahead prediction in vector autoregressive models," Economic Modelling, Elsevier, vol. 12(4), pages 339-341, October.
    10. Yu‐Pin Hu & Rouh‐Jane Chou, 2004. "On The Peña–Box Model," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(6), pages 811-830, November.
    11. Emre Kahraman & Gazanfer Unal, 2016. "Multiple Wavelet Coherency Analysis and Forecasting of Metal Prices," Papers 1602.01960, arXiv.org.

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