A Note on the Specification and Estimation of ARMAX Systems

Donald Poskitt

Journal of Time Series Analysis, 2005, vol. 26, issue 2, 157-183

Abstract: Abstract. This paper addresses the problem of identifying echelon canonical forms for a vector autoregressive moving‐average model with exogenous variables using finite algorithms. For given values of the Kronecker indices, a method for estimating the structural parameters of a model using ordinary least squares calculations is presented. These procedures give rise, rather naturally, to a technique for the determination of the structural indices based on the use of conventional model selection criteria. A detailed analysis of the statistical properties of the estimation and identification procedures is given and some evidence on the practical significance of the results obtained is also provided. The conclusion briefly discusses modifications designed to improve the performance of the identification method and points to the application of the techniques to subspace algorithms.

Date: 2005
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
https://doi.org/10.1111/j.1467-9892.2005.00397.x

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:26:y:2005:i:2:p:157-183

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0143-9782

Access Statistics for this article

Journal of Time Series Analysis is currently edited by M.B. Priestley

More articles in Journal of Time Series Analysis from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().