Estimation and Forecasting in Vector Autoregressive Moving Average Models for Rich Datasets
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- 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.
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More about this item
Keywords
VARMA; weak VARMA; weak ARMA; Forecasting; Rich and Large datasets; Iterative ordinary least squares (IOLS) estimator; Asymptotic contraction mapping.;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- E0 - Macroeconomics and Monetary Economics - - General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2014-11-17 (Econometrics)
- NEP-FOR-2014-11-17 (Forecasting)
- NEP-ORE-2014-11-17 (Operations Research)
Statistics
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