Estimating the Kronecker Indices of Cointegrated Echelon-Form Varma Models

Posted: 5 Apr 1999

See all articles by Holger Bartel

Holger Bartel

Humboldt University of Berlin

Helmut Luetkepohl

European University Institute; CESifo (Center for Economic Studies and Ifo Institute)

Abstract

VARMA models can be parameterized by using the echelon form, which is characterized by the Kronecker indices. Three different methods for estimating the Kronecker indices of echelon-form VARMA models are discussed and compared. The three methods are expected to work even for non-stationary processes with cointegrated variables. They have the common feature of estimating the individual equations of the system separately and using order selection criteria. The small sample performance of the methods is compared in a simulation study for cointegrated systems. It is found that the performance is better if a sequential algorithm is used in which all echelon-form restrictions implied by the Kronecker indices found in preceding steps are incorporated.

JEL Classification: C22, C32

Suggested Citation

Bartel, Holger and Luetkepohl, Helmut, Estimating the Kronecker Indices of Cointegrated Echelon-Form Varma Models. Available at SSRN: https://ssrn.com/abstract=156709

Holger Bartel (Contact Author)

Humboldt University of Berlin ( email )

Spandauer Str. 1
Institut fur Statistik und Okonometrie
D-10178 Berlin
Germany

Helmut Luetkepohl

European University Institute ( email )

Villa San Paulo
Via della Piazzola 43
I-50133 Firenze
Italy
+39 055 4685 971 (Phone)
+39 055 4685 902 (Fax)

CESifo (Center for Economic Studies and Ifo Institute)

Poschinger Str. 5
Munich, DE-81679
Germany

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Abstract Views
533
PlumX Metrics