Download This PaperSupplement To 'Estimation and Forecasting in Vector Autoregressive Moving Average Models for Rich Datasets'
64 Pages Posted: 29 Aug 2016 Last revised: 30 May 2017
Date Written: May 29, 2017
Abstract
The online Supplement presents the proof the auxiliary Lemmas 1-6, the entire set of tables with results from the Monte Carlo and the empirical studies, and further discussion on selected topics.
Full paper is available at: https://ssrn.com/abstract=2707176
Keywords: VARMA, Weak VARMA, Weak ARMA, Forecasting, Rich and Large Datasets, Iterative Ordinary Least Squares (IOLS) Estimator, Asymptotic Contraction Mapping
JEL Classification: C13, C32, C53, C63, E0
Suggested Citation: Suggested Citation
Fruet Dias, Gustavo and Kapetanios, George, Supplement To 'Estimation and Forecasting in Vector Autoregressive Moving Average Models for Rich Datasets' (May 29, 2017). Available at SSRN: https://ssrn.com/abstract=2830838 or http://dx.doi.org/10.2139/ssrn.2830838
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