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The Properties of the Parameterization of ARMAX Systems and Their Relevance for Structural Estimation and Dynamic Specification

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  • Deistler, Manfred

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  • Deistler, Manfred, 1983. "The Properties of the Parameterization of ARMAX Systems and Their Relevance for Structural Estimation and Dynamic Specification," Econometrica, Econometric Society, vol. 51(4), pages 1187-1207, July.
    • Handle: RePEc:ecm:emetrp:v:51:y:1983:i:4:p:1187-207
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    Cited by:

    1. D. S. Poskitt, 2004. "On The Identification and Estimation of Partially Nonstationary ARMAX Systems," Monash Econometrics and Business Statistics Working Papers 20/04, Monash University, Department of Econometrics and Business Statistics.
    2. Bernd Funovits, 2020. "The Dimension of the Set of Causal Solutions of Linear Multivariate Rational Expectations Models," Papers 2002.04369, arXiv.org.
    3. Bernd Funovits, 2020. "Identifiability and Estimation of Possibly Non-Invertible SVARMA Models: A New Parametrisation," Papers 2002.04346, arXiv.org, revised Feb 2021.
    4. Walter Krämer, 2021. "Interview mit Manfred Deistler," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer;Deutsche Statistische Gesellschaft - German Statistical Society, vol. 15(2), pages 139-147, June.
    5. Bernd Funovits, 2019. "Identification and Estimation of SVARMA models with Independent and Non-Gaussian Inputs," Papers 1910.04087, arXiv.org.
    6. Funovits, Bernd, 2024. "Identifiability and estimation of possibly non-invertible SVARMA Models: The normalised canonical WHF parametrisation," Journal of Econometrics, Elsevier, vol. 241(2).
    7. B. Pötscher, 1985. "The behaviour of the Lagrangian multiplier test in testing the orders of an ARMA-model," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 32(1), pages 129-150, December.

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