From general State-Space to VARMAX models

José Casals Carro (), Alfredo Garcia-Hiernaux and Miguel Jerez
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José Casals Carro: Departamento de Fundamentos de Análisis Económico II, Universidad Complutense de Madrid., https://www.ucm.es/fundamentos-analisis-economico2

Documentos de Trabajo del ICAE from Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico

Abstract: Fixed coecients State-Space and VARMAX models are equivalent, meaning that they are able to represent the same linear dynamics, being indistinguishable in terms of overall fit. However, each representation can be specifically adequate for certain uses, so it is relevant to be able to choose between them. To this end, we propose two algorithms to go from general State-Space models to VARMAX forms. The first one computes the coeficients of a standard VARMAX model under some assumptions while the second, which is more general, returns the coeficients of a VARMAX echelon. These procedures supplement the results already available in the literature allowing one to obtain the State-Space model matrices corresponding to any VARMAX. The paper also discusses some applications of these procedures by solving several theoretical and practical problems.

Keywords: State-Space; VARMAX models; Canonical forms; Echelon. (search for similar items in EconPapers)
Pages: pages 28
Date: 2010
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ore
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https://eprints.ucm.es/id/eprint/11450/1/1002.pdf (application/pdf)

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Journal Article: From general state-space to VARMAX models (2012)
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