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Non-identifiability of VMA and VARMA systems in the mixed frequency case

Deistler, Manfred; Koelbl, Lukas; Anderson, Brian

Description

Recently, identifiability results for VAR systems in the context of mixed frequency data have been shown in a number of papers. These results have been extended to VARMA systems, where the MA order is smaller than or equal to the AR order. Here, it is shown that in the VMA case and in the VARMA case, where the MA order exceeds the AR order, results are completely different. Then, for the case, where the innovation covariance matrix is non-singular, “typically” non-identifiability occurs – not...[Show more]

CollectionsANU Research Publications
Date published: 2017
Type: Journal article
URI: http://hdl.handle.net/1885/244041
Source: Econometrics and Statistics
DOI: 10.1016/j.ecosta.2016.11.006
Access Rights: Open Access

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