Asymptotic Distribution of a Simple Linear Estimator for VARMA Models in Echelon Form

Jean-Marie Dufour () and Jouini Tarek

Cahiers de recherche from Universite de Montreal, Departement de sciences economiques

Abstract: In this paper, we study the asymptotic distribution of a simple two-stage (Hannan-Rissanen-type) linear estimator for stationary invertible vector autoregressive moving average (VARMA) models in the echelon form representation. General conditions for consistency and asymptotic normality are given. A consistent estimator of the asymptotic covariance matrix of the estimator is also provided, so that tests and confidence intervals can easily be constructed.

Keywords: Time series; VARMA; stationary; invertible; echelon form; estimation; asymotic normality; bootstra; Hannan-Rissanen (search for similar items in EconPapers)
JEL-codes: C3 C32 C53 (search for similar items in EconPapers)
Pages: 37 pages
Date: 2005
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (6)

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http://hdl.handle.net/1866/538 (application/pdf)

Related works:
Working Paper: Asymptotic distribution of a simple linear estimator for VARMA models in echelon form (2005)
Working Paper: Asymptotic Distribution of a Simple Linear Estimator for VARMA Models in Echelon Form (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:mtl:montde:2005-09

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