Asymptotic distribution of a simple linear estimator for VARMA models in echelon form
Year of publication: |
2005-02-01
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Authors: | Dufour, Jean-Marie ; Jouini, Tarek |
Institutions: | Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) |
Subject: | time series | VARMA | stationary | invertible | echelon form | estimation | asymptotic normality | bootstrap | Hannan-Rissanen | séries chronologiques | stationnaire | inversible | forme échelon | normalité asymptotique |
Series: | |
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Type of publication: | Book / Working Paper |
Language: | French |
Notes: | 37 pages |
Classification: | C3 - Econometric Methods: Multiple/Simultaneous Equation Models ; C32 - Time-Series Models ; C53 - Forecasting and Other Model Applications |
Source: |
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Asymptotic Distribution of a Simple Linear Estimator for VARMA Models in Echelon Form
DUFOUR, Jean-Marie, (2005)
-
Asymptotic Distribution of a Simple Linear Estimator for VARMA Models in Echelon Form
DUFOUR, Jean-Marie, (2005)
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Electricity Distributor Load Forecasting with ARMA Models
Simões, Mario D., (2013)
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Dufour, Jean-Marie, (2005)
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Asymptotic Distributions for Some Quasi-Efficient Estimators in Echelon VARMA Models
Dufour, Jean-Marie, (2011)
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Asymptotic distributions for quasi-efficient estimators in echelon VARMA models
Dufour, Jean-Marie, (2014)
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