Specification of echelon-form VARMA models

Helmut Lütkepohl; D. S. Poskitt

doi:10.1080/07350015.1996.10524630

Specification of echelon-form VARMA models

Helmut Lütkepohl, D. S. Poskitt

Research output: Contribution to journal › Article › Research › peer-review

55 Citations (Scopus)

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 language	English
Pages (from-to)	69-79
Number of pages	11
Journal	Journal of Business and Economic Statistics
Volume	14
Issue number	1
DOIs	https://doi.org/10.1080/07350015.1996.10524630
Publication status	Published - 1 Jan 1996
Externally published	Yes

Keywords

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

Access to Document

10.1080/07350015.1996.10524630

Cite this

@article{788a6a74e6e04053b823e6ea0aa1999c,

title = "Specification of echelon-form VARMA models",

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.",

keywords = "Kronecker indices, Model specification, Multiple time series, Term structure, Vector autoregressive moving average process",

author = "Helmut L{\"u}tkepohl and Poskitt, {D. S.}",

year = "1996",

month = jan,

day = "1",

doi = "10.1080/07350015.1996.10524630",

language = "English",

volume = "14",

pages = "69--79",

journal = "Journal of Business and Economic Statistics",

issn = "0735-0015",

publisher = "Taylor & Francis",

number = "1",

}

TY - JOUR

T1 - Specification of echelon-form VARMA models

AU - Lütkepohl, Helmut

AU - Poskitt, D. S.

PY - 1996/1/1

Y1 - 1996/1/1

N2 - 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.

AB - 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.

KW - Kronecker indices

KW - Model specification

KW - Multiple time series

KW - Term structure

KW - Vector autoregressive moving average process

UR - http://www.scopus.com/inward/record.url?scp=17944385122&partnerID=8YFLogxK

U2 - 10.1080/07350015.1996.10524630

DO - 10.1080/07350015.1996.10524630

M3 - Article

AN - SCOPUS:17944385122

VL - 14

SP - 69

EP - 79

JO - Journal of Business and Economic Statistics

JF - Journal of Business and Economic Statistics

SN - 0735-0015

IS - 1

ER -

Specification of echelon-form VARMA models

Abstract

Keywords

Access to Document

Other files and links

Cite this