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

Dufour, Jean Marie; TAREK, Jouini

dc.contributor.author	Dufour, Jean Marie
dc.contributor.author	TAREK, Jouini
dc.date.accessioned	2006-09-22T19:56:43Z
dc.date.available	2006-09-22T19:56:43Z
dc.date.issued	2005
dc.identifier.uri	http://hdl.handle.net/1866/538
dc.format.extent	267450 bytes
dc.format.mimetype	application/pdf
dc.publisher	Université de Montréal. Département de sciences économiques.	fr
dc.subject	Time series
dc.subject	VARMA
dc.subject	stationary
dc.subject	invertible
dc.subject	echelon form
dc.subject	estimation
dc.subject	asymptotic normality
dc.subject	bootstrap
dc.subject	Hannan-Rissanen
dc.subject	[JEL:C3] Mathematical and Quantitative Methods - Econometric Methods: Multiple; Simultaneous Equation Models; Multiple Variables; Endogenous Regressors	en
dc.subject	[JEL:C32] Mathematical and Quantitative Methods - Econometric Methods: Multiple; Simultaneous Equation Models; Multiple Variables; Endogenous Regressors - Time-Series Models	en
dc.subject	[JEL:C3] Mathématiques et méthodes quantitatives - Méthodes en économétrie; modèles à équations multiples et simultanées	fr
dc.subject	[JEL:C32] Mathématiques et méthodes quantitatives - Méthodes en économétrie; modèles à équations multiples et simultanées - Modèles de séries chronologiques	fr
dc.title	Asymptotic Distribution of a Simple Linear Estimator for VARMA Models in Echelon Form
dc.type	Article
dc.contributor.affiliation	Université de Montréal. Faculté des arts et des sciences. Département de sciences économiques
dcterms.abstract	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 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.isPartOf	urn:ISSN:0709-9231
UdeM.VersionRioxx	Version publiée / Version of Record
oaire.citationTitle	Cahier de recherche
oaire.citationIssue	2005-09

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