Estimation and forecasting in vector autoregressive moving average models for rich datasets
Year of publication: |
January 2018
|
---|---|
Authors: | Dias, Gustavo Fruet ; Kapetanios, George |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 202.2018, 1, p. 75-91
|
Subject: | VARMA | Weak VARMA | Iterative ordinary least squares (IOLS) estimator | Asymptotic contraction mapping | Forecasting | Rich and large datasets | Prognoseverfahren | Forecasting model | Schätztheorie | Estimation theory | Kleinste-Quadrate-Methode | Least squares method | ARMA-Modell | ARMA model | Zeitreihenanalyse | Time series analysis | VAR-Modell | VAR model |
-
Large Bayesian VARs : a flexible Kronecker error covariance structure
Chan, Joshua, (2020)
-
Large Bayesian VARs : a flexible Kronecker error covariance structure
Chan, Joshua, (2015)
-
On weak identification in structural VARMA models
Yao, Wenying, (2017)
- More ...
-
Forecasting Medium and Large Datasets with Vector Autoregressive Moving Average (VARMA) Models
Dias, Gustavo Fruet, (2014)
-
Forecasting medium and large datasets with Vector Autoregressive Moving Average (VARMA) models
Dias, Gustavo Fruet, (2014)
-
Forecasting Long Memory Series Subject to Structural Change: A Two-Stage Approach
Dias, Gustavo Fruet, (2014)
- More ...