Estimating structural VARMA models with uncorrelated but non-independent error terms

Abstract

The asymptotic properties of the quasi-maximum likelihood estimator (QMLE) of vector autoregressive moving-average (VARMA) models are derived under the assumption that the errors are uncorrelated but not necessarily independent. Relaxing the independence assumption considerably extends the range of application of the VARMA models, and allows to cover linear… (More)
DOI: 10.1016/j.jmva.2010.10.009

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