The Properties of the Parameterization of Armax Systems and Their Relevance for Structural Estimation and Dynamic Specification

Deistler, Manfred (1983) The Properties of the Parameterization of Armax Systems and Their Relevance for Structural Estimation and Dynamic Specification. Econometrica, 51 (4), pp. 1187-1207.

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Abstract or Table of Contents

ARMAX systems in structural specification are considered. Topological and geometric properties of the parameter space and of the parameterization which are important for the properties of the estimators, regardless of their special form, are investigated and the specification of the maximum lag lengths is discussed.

Item Type: Article in Academic Journal
Research Units: Macroeconomics and Economic Policy
Status: Published
Date Deposited: 05 Jun 2020 07:18
Last Modified: 05 Jun 2020 07:18
Identification Number or DOI: 10.2307/1912058
ISSN: 00129682
URI: https://irihs.ihs.ac.at/id/eprint/5354

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