Browsing Titles index "Asymptotic Distribution of a Simple Linear Estimator for VARMA Models in Echelon Form"

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  • Asymptotic Distribution of a Simple Linear Estimator for VARMA Models in Echelon Form 

    Dufour, Jean Marie; TAREK, Jouini (Université de Montréal. Département de sciences économiques., 2005)
    In this paper, we study the asymptotic distribution of a simple two-stage (Hannan-Rissanen-type) linear estimator for stationary invertible vector autoregressive moving average (VARMA) models in the echelon form representation. General conditions for ...