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A new approach in multivariate time series specification

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  • Celina Pestano
  • Concepción González

Abstract

Within the study of multivariate time series, this work is centered on vector autoregressive moving average (VARMA) models, specifically on the specification stage. Until now, numerous procedures have been proposed to resolve the problem of identifying the dynamic behavior in a VARMA model framework. A new strategy is added to specify VARMA models justified by results within the field of matrix Padé approximation. Besides contributing a characterization of these models, alternative methods are added to those already in the literature to deal with the problems of identifiability and exchangeability. The obtained characterizations have the advantage of graphically presenting the results in tables for direct interpretation. The proposed technique is illustrated by means of a theoretical example, a simulated model, and data from economic variables (already dealt with by other authors) in order to compare results. Copyright International Atlantic Economic Society 1998

Suggested Citation

  • 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.
    • Handle: RePEc:kap:iaecre:v:4:y:1998:i:3:p:229-242:10.1007/bf02294892
    DOI: 10.1007/BF02294892
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    References listed on IDEAS

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    1. 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.
    2. 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.
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