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 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.
| Author: | Peter A. Zadrozny |
|---|---|
| URN: | urn:nbn:de:hebis:30:3-392957 |
| URL: | http://ssrn.com/abstract=2714330 |
| DOI: | https://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 |
| Page Number: | 29 |
| HeBIS-PPN: | 372417647 |
| Institutes: | Wirtschaftswissenschaften / Wirtschaftswissenschaften |
| Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS) | |
| Dewey Decimal Classification: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
| JEL-Classification: | C Mathematical and Quantitative Methods / C3 Multiple or Simultaneous Equation Models / C32 Time-Series Models; Dynamic Quantile Regressions (Updated!) |
| Sammlungen: | Universitätspublikationen |
| Licence (German): |  Deutsches Urheberrecht |
