Please use this identifier to cite or link to this item:
https://hdl.handle.net/10419/66240
Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Bartel, Holger | en |
dc.contributor.author | Lütkepohl, Helmut | en |
dc.date.accessioned | 2012-10-17 | - |
dc.date.accessioned | 2012-11-19T15:22:09Z | - |
dc.date.available | 2012-11-19T15:22:09Z | - |
dc.date.issued | 1997 | - |
dc.identifier.pi | urn:nbn:de:kobv:11-10060874 | en |
dc.identifier.uri | http://hdl.handle.net/10419/66240 | - |
dc.description.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. | en |
dc.language.iso | eng | en |
dc.publisher | |aHumboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes |cBerlin | en |
dc.relation.ispartofseries | |aSFB 373 Discussion Paper |x1997,2 | en |
dc.subject.ddc | 330 | en |
dc.title | Estimating the Kronecker indices of cointegrated echelon form VARMA models | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 727649256 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
dc.identifier.repec | RePEc:zbw:sfb373:19972 | en |
Files in This Item:
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.