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  • Search: subject:"Iterative ordinary least squares (IOLS) estimator"
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Year of publication
Subject
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Asymptotic contraction mapping 2 Forecasting 2 Iterative ordinary least squares (IOLS) estimator 2 VARMA 2 ARMA model 1 ARMA-Modell 1 Estimation 1 Estimation theory 1 Forecasting model 1 Kleinste-Quadrate-Methode 1 Large datasets 1 Least squares method 1 Prognoseverfahren 1 Rich and large datasets 1 Schätztheorie 1 Schätzung 1 Time series analysis 1 VAR model 1 VAR-Modell 1 Weak VARMA 1 Zeitreihenanalyse 1 weak ARMA 1 weak VARMA 1
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Online availability
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Free 1 Undetermined 1
Type of publication
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Article 1 Book / Working Paper 1
Type of publication (narrower categories)
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 1 Undetermined 1
Author
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Dias, Gustavo Fruet 2 Kapetanios, George 2
Institution
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School of Economics and Management, University of Aarhus 1
Published in...
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CREATES Research Papers 1 Journal of econometrics 1
Source
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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Forecasting Medium and Large Datasets with Vector Autoregressive Moving Average (VARMA) Models
Dias, Gustavo Fruet; Kapetanios, George - School of Economics and Management, University of Aarhus - 2014
least squares (IOLS) estimator. We establish the consistency and asymptotic distribution of the estimator for strong and … VARMA models. We overcome the estimation issue that arises with this class of models by implementing an iterative ordinary …
Persistent link: https://www.econbiz.de/10010940885
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Cover Image
Estimation and forecasting in vector autoregressive moving average models for rich datasets
Dias, Gustavo Fruet; Kapetanios, George - In: Journal of econometrics 202 (2018) 1, pp. 75-91
Persistent link: https://www.econbiz.de/10011974554
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