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Orders And Initial Values Of Non‐Stationary Multivariate Arma Models

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  • A. L. Swift

Abstract

. Akaike's stepwise canonical correlations procedure identifies each autoregressive (AR) order (assuming a lesser moving‐average (MA) order) and gives initial parameter estimates of a stationary multivariate autoregressive moving‐average model. We show that a similar procedure is valid for the non‐stationary model when this can be approximated by a large‐order AR‐only model which has consistent least‐squares estimators. The procedure can also be adapted for all MA orders by fixing the overall maximum of any MA order less its corresponding AR order. We perform the canonical correlations procedure on a succession of values of this maximum and compare the results to obtain one or more prospective model structures.

Suggested Citation

  • A. L. Swift, 1990. "Orders And Initial Values Of Non‐Stationary Multivariate Arma Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 11(4), pages 349-359, July.
    • Handle: RePEc:bla:jtsera:v:11:y:1990:i:4:p:349-359
    DOI: 10.1111/j.1467-9892.1990.tb00063.x
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