Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/66240
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dc.contributor.authorBartel, Holgeren_US
dc.contributor.authorLütkepohl, Helmuten_US
dc.date.accessioned2012-10-17en_US
dc.date.accessioned2012-11-19T15:22:09Z-
dc.date.available2012-11-19T15:22:09Z-
dc.date.issued1997en_US
dc.identifier.piurn:nbn:de:kobv:11-10060874en_US
dc.identifier.urihttp://hdl.handle.net/10419/66240-
dc.description.abstractCointegrated 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_US
dc.language.isoengen_US
dc.publisher|aHumboldt-Universität |cBerlinen_US
dc.relation.ispartofseries|aDiscussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes |x1997,2en_US
dc.subject.ddc330en_US
dc.titleEstimating the Kronecker indices of cointegrated echelon form VARMA modelsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn727649256en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:sfb373:19972-

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