TY - JOUR
AU1 - Lütkepohl, Helmut
AU2 - Poskitt, D. S.
AB -  The echelon form of a VARMA (vector autoregressive moving average) model is considered. Its advantages over other identified VARMA representations are discussed. Furthermore, a general strategy for specifying echelon-form VARMA models from data is presented. Specifically procedures for choosing the Kronecker indices that characterize an echelon form are reviewed. The feasibility of the method is demonstrated by analyzing a well-known set of flour-price time series and the term structure of German interest rates. 
TI - Specification of Echelon-Form VARMA Models
JF - Journal of Business & Economic Statistics
DO - 10.1080/07350015.1996.10524630
DA - 1996-01-01
UR - https://www.deepdyve.com/lp/taylor-francis/specification-of-echelon-form-varma-models-luRfwjJhLI
SP - 69
EP - 79
VL - 14
IS - 1
DP - DeepDyve
ER -