VARMA Models with Single- or Mixed-Frequency Data: New Conditions for Extended Yule–Walker Identification

VARMA Models with Single- or Mixed-Frequency Data: New Conditions for Extended Yule–Walker Identification

This paper deals with the identifiability of VARMA models with VAR order greater than or equal to the MA order, in the context of mixed-frequency data (MFD) using extended Yule–Walker equations. The main contribution is that necessary and sufficient conditions for identifiability in the single-frequ...

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Bibliographic Details
Main Authors: Celina Pestano-Gabino, Concepción González-Concepción, María Candelaria Gil-Fariña
Format: Article
Language:English
Published: MDPI AG 2024-01-01
Series:Mathematics
Subjects:
VARMA model
mixed-frequency data
identification
extended Yule–Walker method
Hankel matrix
autocovariance
Online Access:https://www.mdpi.com/2227-7390/12/2/244

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https://www.mdpi.com/2227-7390/12/2/244

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