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  • Search: subject:"three-step linear estimation"
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Year of publication
Subject
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GLS 1 Kronecker indices 1 ML 1 asymptotically efficient 1 echelon form 1 generalized least squares 1 invertible process 1 linear estimation 1 maximum likelihood 1 simulation 1 stationary process 1 three-step linear estimation 1 two-step linear estimation 1
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Online availability
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Free 1
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Book / Working Paper 1
Language
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Undetermined 1
Author
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Dufour, Jean-Marie 1 Jouini, Tarek 1
Institution
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Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) 1
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CIRANO Working Papers 1
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RePEc 1
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Asymptotic Distributions for Some Quasi-Efficient Estimators in Echelon VARMA Models
Dufour, Jean-Marie; Jouini, Tarek - Centre Interuniversitaire de Recherche en Analyse des … - 2011
We study two linear estimators for stationary invertible VARMA models in echelon form to achieve identification (model parameter unicity) with known Kronecker indices. Such linear estimators are much simpler to compute than Gaussian maximum-likelihood estimators often proposed for such models,...
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