Browsing Discussion papers of interdisciplinary research project 373 / Sonderforschungsbereich 373 by Author "Bartel, Holger"

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1997-02-11Buch

Estimating the Kronecker Indices of Cointegrated Echelon Form VARMA Models

Bartel, Holger; Lütkepohl, Helmut

Cointegrated 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 ...