Supplement 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
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