Two Canonical VARMA Forms: Scalar Component Models Vis-à-Vis the Echelon Form-Reference-Cited by-同舟云学术

Two Canonical VARMA Forms: Scalar Component Models Vis-à-Vis the Echelon Form

Published:2012-01 Issue:1 Volume:31 Page:60-83
ISSN:0747-4938
Container-title:Econometric Reviews
language:en
Short-container-title:Econometric Reviews

Author:

Athanasopoulos George,Poskitt D. S.,Vahid Farshid

Publisher

Informa UK Limited

Subject

Economics and Econometrics

Link

http://www.tandfonline.com/doi/pdf/10.1080/07474938.2011.607088

Reference41 articles.

1. Stochastic theory of minimal realization

2. Athanasopoulos , G.(2007). Essays on alternative methods of identification and estimation of vector autoregressive moving average models. Unpublished Ph.D. dissertation, Department of Econometrics and Business Statistics. Melbourne, Australia: Monash University.

3. A complete VARMA modelling methodology based on scalar components

4. VARMA versus VAR for Macroeconomic Forecasting

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