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  • Search: subject:"Kronecker invariants"
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Year of publication
Subject
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Kronecker invariants 2 ARMA model 1 ARMA-Modell 1 ARMAX model 1 Canonical correlations 1 Cointegration 1 Correlation 1 Echelon form 1 Estimation theory 1 IV-Schätzung 1 Instrumental variables 1 Kointegration 1 Korrelation 1 Macroeconomics 1 Makroökonomik 1 Schätztheorie 1 Spectral factorization 1 Time series analysis 1 VAR model 1 VAR-Modell 1 Zeitreihenanalyse 1 consistency 1 echelon canonical form 1 efficiency 1 estimation 1 identification 1 least squares 1 selection criterion 1 structure determination 1 subspace algorithm 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 2
Author
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Poskitt, D.S. 1 Poskitt, Donald Stephen 1
Institution
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Department of Econometrics and Business Statistics, Monash Business School 1
Published in...
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Journal of econometrics 1 Monash Econometrics and Business Statistics Working Papers 1
Source
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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Vector autoregressive moving average identification for macroeconomic modeling : a new methodology
Poskitt, Donald Stephen - In: Journal of econometrics 192 (2016) 2, pp. 468-484
Persistent link: https://www.econbiz.de/10011704730
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Some Results on the Identification and Estimation of Vector ARMAX Processes
Poskitt, D.S. - Department of Econometrics and Business Statistics, … - 2004
This paper addresses the problem of identifying echelon canonical forms for a vector autoregressive moving average model with exogenous variables using finite algorithms. For given values of the Kronecker indices a method for estimating the structural parameters of a model using ordinary least...
Persistent link: https://www.econbiz.de/10005581137
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