Asymptotic Properties of Estimators for Seasonally Cointegrated State Space Models Obtained Using the CVA Subspace Method

Asymptotic Properties of Estimators for Seasonally Cointegrated State Space Models Obtained Using the CVA Subspace Method

This paper investigates the asymptotic properties of estimators obtained from the so called CVA (canonical variate analysis) subspace algorithm proposed by Larimore (1983) in the case when the data is generated using a minimal state space system containing unit roots at the seasonal frequencies such...

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Bibliographic Details
Main Authors: Dietmar Bauer, Rainer Buschmeier
Format: Article
Language:English
Published: MDPI AG 2021-04-01
Series:Entropy
Subjects:
cointegration
subspace algorithms
VARMA models
seasonality
Online Access:https://www.mdpi.com/1099-4300/23/4/436

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