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 & Economic Statistics |
| Volume | 14 |
| Issue number | 1 |
| DOIs | |
| Publication status | Published - 1 Jan 1996 |
| Externally published | Yes |
Keywords
- Kronecker indices
- Model specification
- Multiple time series
- Term structure
- Vector autoregressive moving average process
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