DUFOUR, Jean-Marie; TAREK, Jouini - Département de Sciences Économiques, Université de … - 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 consistency and asymptotic normality are...
