TY - JOUR
T1 - The structure of multivariate AR and ARMA systems
T2 - Regular and singular systems; The single and the mixed frequency case
AU - Anderson, Brian D.O.
AU - Deistler, Manfred
AU - Felsenstein, Elisabeth
AU - Koelbl, Lukas
N1 - Publisher Copyright:
© 2016 Elsevier B.V. All rights reserved.
PY - 2016/6/1
Y1 - 2016/6/1
N2 - This paper is concerned with the structure of multivariate AR and ARMA systems. The emphasis is on two "non-standard" cases: We deal with the structure of singular AR and ARMA systems which generate singular spectral densities and with identifiability of ARMA systems from mixed frequency data. In the mixed frequency case we show that, for the case where the MA order is smaller than or equal to the AR order, identifiability can be achieved generically. Furthermore, we demonstrate that for a pure MA system identifiability cannot be achieved. The paper generalizes the results obtained in Anderson et al. (2015) for the AR case.
AB - This paper is concerned with the structure of multivariate AR and ARMA systems. The emphasis is on two "non-standard" cases: We deal with the structure of singular AR and ARMA systems which generate singular spectral densities and with identifiability of ARMA systems from mixed frequency data. In the mixed frequency case we show that, for the case where the MA order is smaller than or equal to the AR order, identifiability can be achieved generically. Furthermore, we demonstrate that for a pure MA system identifiability cannot be achieved. The paper generalizes the results obtained in Anderson et al. (2015) for the AR case.
UR - http://www.scopus.com/inward/record.url?scp=84978319086&partnerID=8YFLogxK
U2 - 10.1016/j.jeconom.2016.02.004
DO - 10.1016/j.jeconom.2016.02.004
M3 - Article
SN - 0304-4076
VL - 192
SP - 366
EP - 373
JO - Journal of Econometrics
JF - Journal of Econometrics
IS - 2
ER -