Vector autoregressive moving average identification for macroeconomic modeling: A new methodology

Author:

Poskitt D.S.

Funder

Australian Research Council

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference48 articles.

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2. Model selection, estimation and forecasting in var models with short-run and long-run restrictions;Athanasopoulos;J. Econometrics,2011

3. Two canonical VARMA forms: Scalar component models vis-à-vis the Echelon form;Athanasopoulos;Econometric Rev.,2012

4. Determination of long-run and short-run dynamics in EC-VARMA models via canonical correlations;Athanasopoulos;J. Appl. Econometrics,2015

5. A complete varma modelling methodology based on scalar components;Athanasopoulos;J. Time Series Anal.,2008

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