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1997-02-11Buch DOI: 10.18452/3788
Estimating the Kronecker Indices of Cointegrated Echelon Form VARMA Models
dc.contributor.authorBartel, Holger
dc.contributor.authorLütkepohl, Helmut
dc.date.accessioned2017-06-15T22:07:26Z
dc.date.available2017-06-15T22:07:26Z
dc.date.created2006-03-17
dc.date.issued1997-02-11
dc.identifier.issn1436-1086
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4440
dc.description.abstractCointegrated VARMA models can be parameterized by using the echelon form, which is characterized by the Kronecker indices. Three different methods for estimating the Kronecker indices of cointegrated echelon form VARMA models are discussed and compared. They have the common feature of estimating the individual equations of the system separately and using order selection criteria. The small sample performance of the methods is compared in a simulation study. It is found that the performance is better if all echelon form restrictions implied by the Kronecker indices found in preceeding steps are incorporated immediately.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subject.ddc330 Wirtschaft
dc.titleEstimating the Kronecker Indices of Cointegrated Echelon Form VARMA Models
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10060874
dc.identifier.doihttp://dx.doi.org/10.18452/3788
dc.subject.dnb17 Wirtschaft
local.edoc.pages32
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-year1997
dc.identifier.zdb2135319-0
bua.series.nameSonderforschungsbereich 373: Quantification and Simulation of Economic Processes
bua.series.issuenumber1997,2

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