Estimating structural VARMA models with uncorrelated but non-independent error terms

Y. Boubacar Mainassara and Christian Francq
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Y. Boubacar Mainassara: LMB - Laboratoire de Mathématiques de Besançon (UMR 6623) - CNRS - Centre National de la Recherche Scientifique - UFC - Université de Franche-Comté - UBFC - Université Bourgogne Franche-Comté [COMUE], UFC - Université de Franche-Comté - UBFC - Université Bourgogne Franche-Comté [COMUE]

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Date: 2011-03
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Published in Journal of Multivariate Analysis, 2011, 102 (3), pp.496-505. ⟨10.1016/j.jmva.2010.10.009⟩

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Related works:
Journal Article: Estimating structural VARMA models with uncorrelated but non-independent error terms (2011)
Working Paper: Estimating structural VARMA models with uncorrelated but non-independent error terms (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-05417844

DOI: 10.1016/j.jmva.2010.10.009

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