Estimation and forecasting in vector autoregressive moving average models for rich datasets
type: Item
instance of: scholarly article
title: Estimation and forecasting in vector autoregressive moving average models for rich datasets
zbMATH Open document ID: 1378.62065
author: Gustavo Fruet Dias
author: George Kapetanios
published in: Journal of Econometrics
publication date: 2017-11-23T00:00:00Z
full work available at URL: VARMA JoE May17.pdf
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62M20
Mathematics Subject Classification ID: 62F12
Mathematics Subject Classification ID: 62P20
zbMATH DE Number: 6811564
zbMATH Keywords: VARMA
zbMATH Keywords: weak VARMA
zbMATH Keywords: iterative ordinary least squares (IOLS) estimator
zbMATH Keywords: asymptotic contraction mapping
zbMATH Keywords: forecasting
zbMATH Keywords: rich and large datasets
zbMATH Keywords: vector autoregressive moving average
zbMATH Keywords: linear regression
MaRDI profile type: Publication
OpenAlex ID: W3124325636
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DOI: 10.1016/J.JECONOM.2017.06.022
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description: scientific article; zbMATH DE number 6811564