Specification of echelon-form VARMA models

被引：42

作者：

Lutkepohl, H ^{[1
]}

Poskitt, DS ^{[1
]}

机构：

[1] AUSTRALIAN NATL UNIV,DEPT STAT,CANBERRA,ACT 2601,AUSTRALIA

来源：

JOURNAL OF BUSINESS & ECONOMIC STATISTICS | 1996年 / 14卷 / 01期

关键词：

Kronecker indices; model specification; multiple time series; term structure; vector autoregressive moving average process;

D O I：

10.2307/1392100

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The echelon form of a VARMA (vector autoregressive moving average) model is considered. Its advantages over other identified VARMA representations are discussed. Furthermore, a general strategy for specifying echelon-form VARMA models from data is presented. Specifically procedures for choosing the Kronecker indices that characterize an echelon form are reviewed. The feasibility of the method is demonstrated by analyzing a well-known set of flour-price time series and the term structure of German interest rates.

引用

页码：69 / 79

页数：11

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