The Identification and Parameterization of ARMAX and State Space Forms
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Cited by:
- Zadrozny, Peter A., 2016.
"Extended Yule–Walker identification of VARMA models with single- or mixed-frequency data,"
Journal of Econometrics, Elsevier, vol. 193(2), pages 438-446.
- Zadrozny, Peter A., 2015. "Extended Yule-Walker identification of Varma models with single- or mixed frequency data," CFS Working Paper Series 526, Center for Financial Studies (CFS).
- Peter A. Zadrozny, 2015. "Extended Yule-Walker Identification of Varma Models with Single- or Mixed- Frequency Data," Economic Working Papers 485, Bureau of Labor Statistics.
- Peter A. Zadrozny, 2016. "Extended Yule-Walker Identification of Varma Models with Single- or Mixed-Frequency Data," CESifo Working Paper Series 5884, CESifo.
- Jacobs, Jan P.A.M. & van Norden, Simon, 2011. "Modeling data revisions: Measurement error and dynamics of "true" values," Journal of Econometrics, Elsevier, vol. 161(2), pages 101-109, April.
- Chan, Joshua C.C. & Eisenstat, Eric & Koop, Gary, 2016.
"Large Bayesian VARMAs,"
Journal of Econometrics, Elsevier, vol. 192(2), pages 374-390.
- Chan, Joshua C.C. & Eisenstat, Eric & Koop, Gary, 2014. "Large Bayesian VARMAs," SIRE Discussion Papers 2015-06, Scottish Institute for Research in Economics (SIRE).
- Joshua C C Chan & Eric Eisenstat & Gary Koop, 2014. "Large Bayesian VARMAs," Working Papers 1409, University of Strathclyde Business School, Department of Economics.
- Joshua C.C. Chan & Eric Eisenstat & Gary Koop, 2014. "Large Bayesian VARMAs," Working Paper series 40_14, Rimini Centre for Economic Analysis.
- Joshua Chan & Eric Eisenstat & Gary Koop, 2015. "Large Bayesian VARMAs," Working Paper series 15-36, Rimini Centre for Economic Analysis.
- Gil-Alana, Luis A. & Gupta, Rangan & Olubusoye, Olusanya E. & Yaya, OlaOluwa S., 2016.
"Time series analysis of persistence in crude oil price volatility across bull and bear regimes,"
Energy, Elsevier, vol. 109(C), pages 29-37.
- Luis A. Gil-Alana & Rangan Gupta & Olusanya E. Olubusoye & OlaOluwa S. Yaya, 2015. "Time Series Analysis of Persistence in Crude Oil Price Volatility across Bull and Bear Regimes," Working Papers 201580, University of Pretoria, Department of Economics.
- Mutschler, Willi, 2015.
"Identification of DSGE models—The effect of higher-order approximation and pruning,"
Journal of Economic Dynamics and Control, Elsevier, vol. 56(C), pages 34-54.
- Willi Mutschler, 2014. "Identification of DSGE Models - the Effect of Higher-Order Approximation and Pruning," CQE Working Papers 3314, Center for Quantitative Economics (CQE), University of Muenster.
- 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.
- DUFOUR, Jean-Marie & JOUINI, Tarek, 2005. "Asymptotic Distribution of a Simple Linear Estimator for VARMA Models in Echelon Form," Cahiers de recherche 10-2005, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Jean-Marie Dufour & Tarek Jouini, 2005. "Asymptotic distribution of a simple linear estimator for VARMA models in echelon form," CIRANO Working Papers 2005s-06, CIRANO.
- Abdoulkarim Ilmi Amir & Yacouba Boubacar Maïnassara, 2020. "Multivariate portmanteau tests for weak multiplicative seasonal VARMA models," Statistical Papers, Springer, vol. 61(6), pages 2529-2560, December.
- Francis X. Diebold & Lutz Kilian & Marc Nerlove, 2006.
"Time Series Analysis,"
PIER Working Paper Archive
06-019, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Diebold, F.X. & Kilian, L. & Nerlove, Marc, 2006. "Time Series Analysis," Working Papers 28556, University of Maryland, Department of Agricultural and Resource Economics.
- Dias, Gustavo Fruet & Kapetanios, George, 2018.
"Estimation and forecasting in vector autoregressive moving average models for rich datasets,"
Journal of Econometrics, Elsevier, vol. 202(1), pages 75-91.
- Gustavo Fruet Dias & George Kapetanios, 2014. "Estimation and Forecasting in Vector Autoregressive Moving Average Models for Rich Datasets," CREATES Research Papers 2014-37, Department of Economics and Business Economics, Aarhus University.
- Valter Di Giacinto, 2006. "A Generalized Space-Time ARMA Model with an Application to Regional Unemployment Analysis in Italy," International Regional Science Review, , vol. 29(2), pages 159-198, April.
- Poncela, Pilar, 1997. "Eigenstructure of nonstationary factor models," DES - Working Papers. Statistics and Econometrics. WS 6224, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Emre Kahraman & Gazanfer Unal, 2016. "Multiple Wavelet Coherency Analysis and Forecasting of Metal Prices," Papers 1602.01960, arXiv.org.
- Ellen R. McGrattan, 2010.
"Measurement with minimal theory,"
Quarterly Review, Federal Reserve Bank of Minneapolis, issue July, pages 2-13.
- Ellen McGrattan, 2006. "Measurement with Minimal Theory," 2006 Meeting Papers 338, Society for Economic Dynamics.
- Ellen R. McGrattan, 2006. "Measurement with minimal theory," Working Papers 643, Federal Reserve Bank of Minneapolis.
- Dufour, Jean-Marie & Jouini, Tarek, 2014.
"Asymptotic distributions for quasi-efficient estimators in echelon VARMA models,"
Computational Statistics & Data Analysis, Elsevier, vol. 73(C), pages 69-86.
- Jean-Marie Dufour & Tarek Jouini, 2015. "Asymptotic distributions for quasi-efficient estimators in echelon VARMA models," CIRANO Working Papers 2015s-26, CIRANO.
- Chan, Joshua C.C. & Eisenstat, Eric & Koop, Gary, 2014. "Large Bayesian VARMAs," 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon TN 2015-06, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- Poncela, Pilar, 1996. "Pooling information and forecasting with dynamic factor analysis," DES - Working Papers. Statistics and Econometrics. WS 10709, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
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