Extended Yule-Walker identification of varma models with single- or mixed frequency data

Chen and Zadrozny (1998) developed the linear extended Yule-Walker (XYW) method for determining the parameters of a vector autoregressive (VAR) model with available covariances of mixed-frequency observations on the vari
Chen and Zadrozny (1998) developed the linear extended Yule-Walker (XYW) method for determining the parameters of a vector autoregressive (VAR) model with available covariances of mixed-frequency observations on the variables of the model. If the parameters are determined uniquely for available population covariances, then, the VAR model is identified. The present paper extends the original XYW method to an extended XYW method for determining all ARMA parameters of a vector autoregressive moving-average (VARMA) model with available covariances of single- or mixed-frequency observations on the variables of the model. The paper proves that under conditions of stationarity, regularity, miniphaseness, controllability, observability, and diagonalizability on the parameters of the model, the parameters are determined uniquely with available population covariances of single- or mixed-frequency observations on the variables of the model, so that the VARMA model is identified with the single- or mixed-frequency covariances.
show moreshow less

Download full text files

Export metadata

  • Export Bibtex
  • Export RIS

Additional Services

    Share in Twitter Search Google Scholar
Metadaten
Author:Peter A. Zadrozny
URN:urn:nbn:de:hebis:30:3-392957
URL:http://ssrn.com/abstract=2714330
DOI:http://dx.doi.org/10.2139/ssrn.2714330
Parent Title (English):Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 526
Series (Serial Number):CFS working paper series (526)
Publisher:Center for Financial Studies
Place of publication:Frankfurt, M.
Document Type:Working Paper
Language:English
Date of Publication (online):2016/01/13
Date of first Publication:2016/01/13
Publishing Institution:Universitätsbibliothek Johann Christian Senckenberg
Release Date:2016/02/02
Issue:November 14, 2015
Pagenumber:29
HeBIS PPN:372417647
Institutes:Wirtschaftswissenschaften
Center for Financial Studies (CFS)
Dewey Decimal Classification:330 Wirtschaft
JEL-Classification:C32 Time-Series Models; Dynamic Quantile Regressions (Updated!)
C80 General
Sammlungen:Universitätspublikationen
Licence (German):License Logo Veröffentlichungsvertrag für Publikationen

$Rev: 11761 $