Technical Appendix to Asymptotic Properties of QML Estimators for VARMA Models with Time-Dependent Coefficients

Abdelkamel Alj, Rajae Azrak, Christophe Ley and Guy Melard

Working Papers ECARES from ULB -- Universite Libre de Bruxelles

Abstract: This technical appendix contains proofs for the asymptotic properties of quasi-maximum likelihood (QML) estimators for vector autoregressive moving average (VARMA) models in the case where the coefficients depend on time instead of being constant. We refer to the main theorems of the paper Asymptotic properties of QML estimators for VARMA models with time-dependent coefficients" (Alj, Azrak, Ley and M elard, 2016).

Pages: 34 p.
Date: 2016-12
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations:

Published by:

Downloads: (external link)
https://dipot.ulb.ac.be/dspace/bitstream/2013/2416 ... _MELARD-appendix.pdf Full text for the whole work, or for a work part (application/pdf)

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:eca:wpaper:2013/241626

Ordering information: This working paper can be ordered from
http://hdl.handle.ne ... lb.ac.be:2013/241626

Access Statistics for this paper

More papers in Working Papers ECARES from ULB -- Universite Libre de Bruxelles Contact information at EDIRC.
Bibliographic data for series maintained by Benoit Pauwels ().