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Title:Estimating the Kronecker indices of cointegrated echelon form VARMA models PDF Logo
Authors:Bartel, Holger
Lütkepohl, Helmut
Issue Date:1997
Series/Report no.:Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 1997,2
Abstract:Cointegrated VARMA models can be parameterized by using the echelon form, which is characterized by the Kronecker indices. Three different methods for estimating the Kronecker indices of cointegrated echelon form VARMA models are discussed and compared. They have the common feature of estimating the individual equations of the system separately and using order selection criteria. The small sample performance of the methods is compared in a simulation study. It is found that the performance is better if all echelon form restrictions implied by the Kronecker indices found in preceeding steps are incorporated immediately.
Persistent Identifier of the first edition:urn:nbn:de:kobv:11-10060874
Document Type:Working Paper
Appears in Collections:Discussion Papers, SFB 373, HU Berlin

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