Asymptotic Properties of QML Estimators for VARMA Models with Time-dependent Coefficients
نویسندگان
چکیده
منابع مشابه
Asymptotic distributions for quasi-efficient estimators in echelon VARMA models
Two linear estimators for stationary invertible vector autoregressive moving average (VARMA) models in echelon form – to achieve parameter unicity (identification) – with known Kronecker indices are studied. It is shown that both estimators are consistent and asymptotically normal with strong innovations. The first estimator is a generalized-least-squares (GLS) version of the two-step least-squ...
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We study two linear estimators for stationary invertible VARMA models in echelon form (for identification), with known Kronecker indices. Such linear estimators are much simpler to compute than Gaussian maximum likelihood (ML) estimators often proposed for such models, which are highly nonlinear. The first estimator is an improved two-step estimator which can be interpreted as a generalized lea...
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In this paper, we analytically investigate three efficient estimators for cointegrating regression models: Phillips and Hansen’s (1990) fully modified OLS estimator, Park’s (1992) canonical cointegrating regression estimator, and Saikkonen’s (1991) dynamic OLS estimator. First, by the Monte Carlo simulations, we demonstrate that these efficient methods do not work well when the regression error...
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Abstract In this paper, we analytically investigate three efficient estimators for cointegrating regression models: Phillips and Hansen’s (1990) fully modified OLS estimator, Park’s (1992) canonical cointegrating regression estimator, and Saikkonen’s (1991) dynamic OLS estimator. We consider the case where the regression errors are moderately serially correlated and the AR coefficient in the re...
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CIRANO Le CIRANO est un organisme sans but lucratif constitué en vertu de la Loi des compagnies du Québec. Le financement de son infrastructure et de ses activités de recherche provient des cotisations de ses organisations-membres, d'une subvention d'infrastructure du Ministère du Développement économique et régional et de la Recherche, de même que des subventions et mandats obtenus par ses équ...
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ژورنال
عنوان ژورنال: Scandinavian Journal of Statistics
سال: 2017
ISSN: 0303-6898
DOI: 10.1111/sjos.12268