Exact maximum likelihood estimation of partially nonstationary vector ARMA models

DOI10.1016/j.csda.2005.07.012zbMath1445.62234OpenAlexW2011971916MaRDI QIDQ959448

José Alberto Mauricio

Publication date: 11 December 2008

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2005.07.012

zbMATH Keywords

cointegrationunit rootsexact maximum likelihood estimationpartially nonstationary modelvector autoregressive moving average modelvector error-correction model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (5)

Asymptotic distributions for quasi-efficient estimators in echelon VARMA models ⋮ The exact Gaussian likelihood estimation of time-dependent VARMA models ⋮ On the estimation problem of periodic autoregressive time series: symmetric and asymmetric innovations ⋮ Computing and using residuals in time series models ⋮ Cointegrated VARIMA Models: Specification and Simulation

Uses Software

• AS 311

Cites Work

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