Vector autoregressive moving average identification for macroeconomic modeling: a new methodology

DOI10.1016/j.jeconom.2016.02.011zbMath1420.62395OpenAlexW2185330090MaRDI QIDQ281054

D. S. Poskitt

Publication date: 10 May 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2016.02.011

zbMATH Keywords

spectral factorizationcointegrationinstrumental variablescanonical correlationsechelon formKronecker invariants

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Measures of association (correlation, canonical correlation, etc.) (62H20)

Related Items (1)

Sparse Identification and Estimation of Large-Scale Vector AutoRegressive Moving Averages

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