Two Canonical VARMA Forms: Scalar Component Models Vis-à-Vis the Echelon Form
نویسندگان
چکیده
منابع مشابه
Two canonical VARMA forms: Scalar component models vis-à-vis the Echelon form
In this paper we study two methodologies which identify and specify canonical form VARMA models. The two methodologies are: (i) an extension of the scalar component methodology which specifies canonical VARMA models by identifying scalar components through canonical correlations analysis and (ii) the Echelon form methodology which specifies canonical VARMA models through the estimation of Krone...
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ژورنال
عنوان ژورنال: Econometric Reviews
سال: 2012
ISSN: 0747-4938,1532-4168
DOI: 10.1080/07474938.2011.607088