A new approach in multivariate time series specification

Celina Pestano and Concepción González

International Advances in Economic Research, 1998, vol. 4, issue 3, 229-242

Abstract: Within the study of multivariate time series, this work is centered on vector autoregressive moving average (VARMA) models, specifically on the specification stage. Until now, numerous procedures have been proposed to resolve the problem of identifying the dynamic behavior in a VARMA model framework. A new strategy is added to specify VARMA models justified by results within the field of matrix Padé approximation. Besides contributing a characterization of these models, alternative methods are added to those already in the literature to deal with the problems of identifiability and exchangeability. The obtained characterizations have the advantage of graphically presenting the results in tables for direct interpretation. The proposed technique is illustrated by means of a theoretical example, a simulated model, and data from economic variables (already dealt with by other authors) in order to compare results. Copyright International Atlantic Economic Society 1998

Date: 1998
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DOI: 10.1007/BF02294892

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