[go: up one dir, main page]
IDEAS home Printed from https://ideas.repec.org/a/bes/jnlbes/v14y1996i1p69-79.html
   My bibliography  Save this article

Specification of Echelon-Form VARMA Models

Author

Listed:
  • Lutkepohl, Helmut
  • Poskitt, D S
Abstract
The echelon form of a vector autoregressive moving average (VARMA) 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.

Suggested Citation

  • Lutkepohl, Helmut & Poskitt, D S, 1996. "Specification of Echelon-Form VARMA Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(1), pages 69-79, January.
    • Handle: RePEc:bes:jnlbes:v:14:y:1996:i:1:p:69-79
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Other versions of this item:

    References listed on IDEAS

    as
    1. Saikkonen, Pentti, 1992. "Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation," Econometric Theory, Cambridge University Press, vol. 8(1), pages 1-27, March.
    2. Zellner, Arnold & Palm, Franz, 1974. "Time series analysis and simultaneous equation econometric models," Journal of Econometrics, Elsevier, vol. 2(1), pages 17-54, May.
    3. repec:cup:etheor:v:8:y:1992:i:1:p:1-27 is not listed on IDEAS
    4. Granger, C. W. J. & Newbold, Paul, 1986. "Forecasting Economic Time Series," Elsevier Monographs, Elsevier, edition 2, number 9780122951831 edited by Shell, Karl.
    5. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-1580, November.
    6. Gwilym M. Jenkins & Athar S. Alavi, 1981. "Some Aspects Of Modelling And Forecasting Multivariate Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 2(1), pages 1-47, January.
    7. D. M. Cooper & E. F. Wood, 1982. "Identifying Multivariate Time Series Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 3(3), pages 153-164, May.
    8. Wallis, Kenneth F, 1977. "Multiple Time Series Analysis and the Final Form of Econometric Models," Econometrica, Econometric Society, vol. 45(6), pages 1481-1497, September.
    9. Howard Grubb, 1992. "A Multivariate Time Series Analysis of Some Flour Price Data," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 41(1), pages 95-107, March.
    10. Tsay, Ruey S, 1989. "Parsimonious Parameterization of Vector Autoregressive Moving Average Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 7(3), pages 327-341, July.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Marie-Christine Duker & David S. Matteson & Ruey S. Tsay & Ines Wilms, 2024. "Vector AutoRegressive Moving Average Models: A Review," Papers 2406.19702, arXiv.org.
    2. Emre Kahraman & Gazanfer Unal, 2016. "Multiple Wavelet Coherency Analysis and Forecasting of Metal Prices," Papers 1602.01960, arXiv.org.
    3. Francisco F. R. Ramos, 1996. "Forecasting market shares using VAR and BVAR models: A comparison of their forecasting performance," Econometrics 9601003, University Library of Munich, Germany.
    4. Dietmar Bauer & Lukas Matuschek & Patrick de Matos Ribeiro & Martin Wagner, 2020. "A Parameterization of Models for Unit Root Processes: Structure Theory and Hypothesis Testing," Econometrics, MDPI, vol. 8(4), pages 1-54, November.
    5. Alfredo García Hiernaux & Miguel Jerez & José Casals, 2005. "Deteccióon de Raíces Unitarias y Cointegración mediante Métodos de Subespacios," Documentos de Trabajo del ICAE 0503, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    6. Ribeiro Ramos, Francisco Fernando, 2003. "Forecasts of market shares from VAR and BVAR models: a comparison of their accuracy," International Journal of Forecasting, Elsevier, vol. 19(1), pages 95-110.
    7. Athanasopoulos, George & de Carvalho Guillén, Osmani Teixeira & Issler, João Victor & Vahid, Farshid, 2011. "Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions," Journal of Econometrics, Elsevier, vol. 164(1), pages 116-129, September.
    8. Candelon, Bertrand & Lieb, Lenard, 2013. "Fiscal policy in good and bad times," Journal of Economic Dynamics and Control, Elsevier, vol. 37(12), pages 2679-2694.
    9. Gómez-Puig, Marta & Sosvilla-Rivero, Simón, 2014. "Causality and contagion in EMU sovereign debt markets," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 12-27.
    10. Rangan Gupta & Alain Kabundi & Stephen Miller & Josine Uwilingiye, 2014. "Using large data sets to forecast sectoral employment," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 23(2), pages 229-264, June.
    11. Jun Ma & Mark E. Wohar, 2013. "An Unobserved Components Model that Yields Business and Medium-Run Cycles," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(7), pages 1351-1373, October.
    12. Pär Österholm, 2005. "The Taylor Rule: A Spurious Regression?," Bulletin of Economic Research, Wiley Blackwell, vol. 57(3), pages 217-247, July.
    13. Olimpia Neagu, 2019. "The Link between Economic Complexity and Carbon Emissions in the European Union Countries: A Model Based on the Environmental Kuznets Curve (EKC) Approach," Sustainability, MDPI, vol. 11(17), pages 1-27, August.
    14. Richard H. Clarida & Lucio Sarno & Mark P. Taylor & Giorgio Valente, 2006. "The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates," The Journal of Business, University of Chicago Press, vol. 79(3), pages 1193-1224, May.
    15. Cubadda, Gianluca & Hecq, Alain & Palm, Franz C., 2009. "Studying co-movements in large multivariate data prior to multivariate modelling," Journal of Econometrics, Elsevier, vol. 148(1), pages 25-35, January.
    16. Guillén, Osmani Teixeira de Carvalho & Issler, João Victor & Franco-Neto, Afonso Arinos de Mello, 2014. "On the welfare costs of business-cycle fluctuations and economic-growth variation in the 20th century and beyond," Journal of Economic Dynamics and Control, Elsevier, vol. 39(C), pages 62-78.
    17. Clarida, Richard H. & Sarno, Lucio & Taylor, Mark P. & Valente, Giorgio, 2003. "The out-of-sample success of term structure models as exchange rate predictors: a step beyond," Journal of International Economics, Elsevier, vol. 60(1), pages 61-83, May.
    18. Rangan Gupta & Stephen Miller, 2012. "“Ripple effects” and forecasting home prices in Los Angeles, Las Vegas, and Phoenix," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 48(3), pages 763-782, June.
    19. DUFOUR, Jean-Marie & TAREK, Jouini, 2005. "Asymptotic Distribution of a Simple Linear Estimator for VARMA Models in Echelon Form," Cahiers de recherche 2005-09, Universite de Montreal, Departement de sciences economiques.
    20. Beckmann, Joscha & Czudaj, Robert, 2013. "Is there a homogeneous causality pattern between oil prices and currencies of oil importers and exporters?," Energy Economics, Elsevier, vol. 40(C), pages 665-678.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bes:jnlbes:v:14:y:1996:i:1:p:69-79. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Christopher F. Baum (email available below). General contact details of provider: http://www.amstat.org/publications/jbes/index.cfm?fuseaction=main .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.