A Comparison of Estimation Methods for Vector Autoregressive Moving-Average Models
نویسندگان
چکیده
منابع مشابه
A Comparison of Estimation Methods for Vector Autoregressive Moving-Average Models∗
Recently, there has been a renewed interest in modeling economic time series by vector autoregressive moving-average models. However, this class of models has been unpopular in practice because of estimation problems and the complexity of the identification stage. These disadvantages could have led to the dominant use of vector autoregressive models in macroeconomic research. In this paper, sev...
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ژورنال
عنوان ژورنال: Econometric Reviews
سال: 2012
ISSN: 0747-4938,1532-4168
DOI: 10.1080/07474938.2011.607343