USING SUBSPACE METHODS FOR ESTIMATING ARMA MODELS FOR MULTIVARIATE TIME SERIES WITH CONDITIONALLY HETEROSKEDASTIC INNOVATIONS

DOI10.1017/S0266466608080419zbMath1284.62543OpenAlexW3122488793MaRDI QIDQ3632410

Dietmar Bauer

Publication date: 11 June 2009

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466608080419

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Vector autoregressive moving average identification for macroeconomic modeling: a new methodology ⋮ Estimating ARMAX systems for multivariate time series using the state approach to subspace algorithms

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