This is a preview. Log in through your library . Abstract An expression for the likelihood function of a stationary vector autoregressive-moving average process is developed. The expression is very ...
We study the relationship between vector autoregressive moving-average (VARMA) and factor representations of a vector stochastic process. We observe that, in general, vector time series and factors ...
Bootstrap procedures for local projections typically rely on assuming that the data generating process (DGP) is a finite order vector autoregression (VAR), often taken to be that implied by the local ...
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