From general state-space to VARMAX models
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DOI: 10.1016/j.matcom.2012.01.001
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- José Casals Carro & Alfredo García-Hiernaux & Miguel Jerez, 2010. "From general State-Space to VARMAX models," Documentos de Trabajo del ICAE 1002, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
References listed on IDEAS
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Cited by:
- Eidenberger, Judith & Neudorfer, Benjamin & Sigmund, Michael & Stein, Ingrid, 2014. "What predicts financial (in)stability? A Bayesian approach," Discussion Papers 36/2014, Deutsche Bundesbank.
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Keywords
State-space; VARMAX; Canonical forms; Echelon;All these keywords.
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