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dc.contributor.authorDufour, Jean Marie
dc.contributor.authorTAREK, Jouini
dc.date.accessioned2006-09-22T19:56:43Z
dc.date.available2006-09-22T19:56:43Z
dc.date.issued2005
dc.identifier.urihttp://hdl.handle.net/1866/538
dc.format.extent267450 bytes
dc.format.mimetypeapplication/pdf
dc.publisherUniversité de Montréal. Département de sciences économiques.fr
dc.subjectTime series
dc.subjectVARMA
dc.subjectstationary
dc.subjectinvertible
dc.subjectechelon form
dc.subjectestimation
dc.subjectasymptotic normality
dc.subjectbootstrap
dc.subjectHannan-Rissanen
dc.subject[JEL:C3] Mathematical and Quantitative Methods - Econometric Methods: Multiple; Simultaneous Equation Models; Multiple Variables; Endogenous Regressorsen
dc.subject[JEL:C32] Mathematical and Quantitative Methods - Econometric Methods: Multiple; Simultaneous Equation Models; Multiple Variables; Endogenous Regressors - Time-Series Modelsen
dc.subject[JEL:C3] Mathématiques et méthodes quantitatives - Méthodes en économétrie; modèles à équations multiples et simultanéesfr
dc.subject[JEL:C32] Mathématiques et méthodes quantitatives - Méthodes en économétrie; modèles à équations multiples et simultanées - Modèles de séries chronologiquesfr
dc.titleAsymptotic Distribution of a Simple Linear Estimator for VARMA Models in Echelon Form
dc.typeArticle
dc.contributor.affiliationUniversité de Montréal. Faculté des arts et des sciences. Département de sciences économiques
dcterms.abstractIn 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 consistency and asymptotic normality are given. A consistent estimator of the asymptotic covariance matrix of the estimator is also provided, so that tests and confidence intervals can easily be constructed.
dcterms.isPartOfurn:ISSN:0709-9231
UdeM.VersionRioxxVersion publiée / Version of Record
oaire.citationTitleCahier de recherche
oaire.citationIssue2005-09


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