Specification of echelon-form VARMA models

Helmut Lütkepohl, D. S. Poskitt

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Abstract

The echelon form of a VARMA (vector autoregressive moving average) model is considered. Its advantages over other identified VARMA representations are discussed. Furthermore, a general strategy for specifying echelon-form VARMA models from data is presented. Specifically procedures for choosing the Kronecker indices that characterize an echelon form are reviewed. The feasibility of the method is demonstrated by analyzing a well-known set of flour-price time series and the term structure of German interest rates.

Original languageEnglish
Pages (from-to)69-79
Number of pages11
JournalJournal of Business and Economic Statistics
Volume14
Issue number1
DOIs
Publication statusPublished - 1 Jan 1996
Externally publishedYes

Keywords

  • Kronecker indices
  • Model specification
  • Multiple time series
  • Term structure
  • Vector autoregressive moving average process

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