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

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.

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Year of publication:	2005
Authors:	DUFOUR, Jean-Marie ; TAREK, Jouini
Institutions:	Département de Sciences Économiques, Université de Montréal
Subject:	Time series \| VARMA \| stationary \| invertible \| echelon form \| estimation \| asymotic normality \| bootstra \| Hannan-Rissanen

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Extent:	application/pdf
Series:	Cahiers de recherche.
Type of publication:	Book / Working Paper
Notes:	37 pages
Classification:	C3 - Econometric Methods: Multiple/Simultaneous Equation Models ; C32 - Time-Series Models ; C53 - Forecasting and Other Model Applications
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005133208