From general state-space to VARMAX models

J. Casals, Alfredo Garcia-Hiernaux and Miguel Jerez

Mathematics and Computers in Simulation (MATCOM), 2012, vol. 82, issue 5, 924-936

Abstract: We propose two new algorithms to go from any state-space model to an output equivalent and invertible Vector AutoRegressive Moving Average model with eXogenous regressors (VARMAX). As the literature shows how to do the inverse transformation, these results imply that both representations, state-space and VARMAX, are equally general and freely interchangeable. These algorithms are useful to solve three practical problems: (i) discussing the identifiability of a state-space model, (ii) performing its diagnostic checking, and (iii) calibrating its parameters so that it realizes, exactly or approximately, a given reduced-form VARMAX. These applications are illustrated by means of practical examples with real data.

Keywords: State-space; VARMAX; Canonical forms; Echelon (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (1)

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Working Paper: From general State-Space to VARMAX models (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:82:y:2012:i:5:p:924-936

DOI: 10.1016/j.matcom.2012.01.001

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