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A Note on the Specification and Estimation of ARMAX Systems

Poskitt, D.S. (2005) A Note on the Specification and Estimation of ARMAX Systems. Journal of Time Series Analysis, 26 (2). pp. 157-183. ISSN 0143-9782

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Abstract

This paper addresses the problem of identifying echelon canonical forms for a vector autoregressive moving-average model with exogenous variables using finite algorithms. For given values of the Kronecker indices, a method for estimating the structural parameters of a model using ordinary least squares calculations is presented. These procedures give rise, rather naturally, to a technique for the determination of the structural indices based on the use of conventional model selection criteria. A detailed analysis of the statistical properties of the estimation and identification procedures is given and some evidence on the practical significance of the results obtained is also provided. The conclusion briefly discusses modifications designed to improve the performance of the identification method and points to the application of the techniques to subspace algorithms.

Item Type: Article
Keywords: ARMAX model • consistency • echelon canonical form • efficiency • estimation • identification • Kronecker invariants • least squares • selection criterion • structure determination • subspace algorithm
Institution: The University of York
Academic Units: The University of York > Economics and Related Studies (York)
Depositing User: York RAE Import
Date Deposited: 03 Apr 2009 11:19
Last Modified: 03 Apr 2009 11:19
Published Version: http://dx.doi.org/10.1111/j.1467-9892.2005.00397.x
Status: Published
Publisher: Blackwell Publishing Ltd
Identification Number: 10.1111/j.1467-9892.2005.00397.x
URI: http://eprints.whiterose.ac.uk/id/eprint/6926

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