Ludlow-Wiechers, Jorge (2012): Backward and forward closed solutions of multivariate ARMA models.
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Some of the most widely used models in economics are based on variables not yet observed, and their specification depends on future observations; the theory that underpins these delivers the backward/ forward solution. We present a newly unified construction, starting with a more general specification of an ARMA model, yet is capable of delivering in closed form, in both the backward and forward cases, leading to an alternative presentation of causal/non-causal and invertible/non-invertible cases.
|Item Type:||MPRA Paper|
|Original Title:||Backward and forward closed solutions of multivariate ARMA models.|
|English Title:||Backward and Forward Closed Solutions of Multivariate ARMA Models.|
|Keywords:||Causal models, non-causal models, invertible models, non-invertible models, backward solution, forward solution|
|Subjects:||C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models; Multiple Variables > C32 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C50 - General
C - Mathematical and Quantitative Methods > C2 - Single Equation Models; Single Variables > C22 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
C - Mathematical and Quantitative Methods > C0 - General > C01 - Econometrics
|Depositing User:||Jorge Ludlow-Wiechers|
|Date Deposited:||27. Mar 2012 16:46|
|Last Modified:||11. Feb 2013 21:51|
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