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  • Jean-Marie Dufour, Denis Pelletier, Marine Carasco, John Galbraith, Nour Meddahi, Rui Castro +1 other
  • 2001
for several useful comments. The second author gratefully acknowledges financial assistance from the Social Sciences and Humanities Research Council of Canada, the Government of Québec (fonds FCAR), the CRDE and CIRANO. Earlier versions of the paper circulated under the title Linear Estimation of Weak VARMA Models With a Macroeconomic Application. Centre(More)
Many processes can be represented in a simple form as infinite-order linear series. In such cases, an approximate model is often derived as a truncation of the infinite-order process, for estimation on the finite sample. The literature contains a number of asymptotic distributional results for least squares estimation of such finite truncations, but for(More)
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