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单频或混频数据下 VARMA 模型的扩展 Yule–Walker 识别AI 解读

Chen and Zadrozny (1998) developed the linear extended Yule–Walker (XYW) method for determining the parameters of a vector autoregressive (VAR) model with available covariances of mixed-frequency observations on the variables of the model. If the parameters are determined uniquely for available population covariances, then, the VAR model is identified. The present paper extends the original XYW method to an extended XYW method for determining all ARMA parameters of a vector…

估计线性动态模型的脉冲响应、阶跃响应与方差分解的渐近分布AI 解读

Formulas are derived for computing asymptotic covariance matrices of sets of impulse responses, step responses, or variance decompositions of estimated dynamic simultaneous-equations models in vector autoregressive moving-average (VARMA) form. Computed covariances would be used to test linear restrictions on sets of impulse responses, step responses, or variance decompositions. The results unify and extend previous formulas to handle any model in VARMA form, provide accurate…