Linear transformations of vector ARMA processes

DOI10.1016/0304-4076(84)90023-XzbMath0555.62072MaRDI QIDQ760742

Helmut Lütkepohl

Publication date: 1984

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

zbMATH Keywords

comparison of predictorsconditions for stationaritylinear transformations of vector ARMA procsses

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (19)

Structural analysis with multivariate autoregressive index models ⋮ VAR analysis, nonfundamental representations, Blaschke matrices ⋮ On the dynamic shape of aggregated error correction models ⋮ A Comparison of Estimation Methods for Vector Autoregressive Moving-Average Models ⋮ Marginalization and contemporaneous aggregation in multivariate GARCH processes ⋮ On the identification of multivariate correlated unobserved components models ⋮ The information content of regional employment data for forecasting aggregate conditions ⋮ Integrated hierarchical forecasting ⋮ VALIDATING DSGE MODELS WITH SVARS AND HIGH-DIMENSIONAL DYNAMIC FACTOR MODELS ⋮ Margin‐closed vector autoregressive time series models ⋮ Bayesian analysis of structural correlated unobserved components and identification via heteroskedasticity ⋮ Comparing aggregate and disaggregate forecasts of first order moving average models ⋮ An Extended Portmanteau Test for VARMA Models With Mixing Nonlinear Constraints ⋮ Methods for quarterly disaggregation without indicators; a comparative study using simulation ⋮ Aggregation in large dynamic panels ⋮ Geometric and long run aspects of Granger causality ⋮ Testing for Granger causality with mixed frequency data ⋮ Unnamed Item ⋮ Aggregation of linear dynamic microeconomic models

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