Specification of Echelon-Form VARMA Models

Helmut Lütkepohl and Donald Poskitt

Journal of Business & Economic Statistics, 1996, vol. 14, issue 1, 69-79

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.

Date: 1996
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