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

See all articles by Gustavo Fruet Dias

Gustavo Fruet Dias

University of East Anglia (UEA) - School of Economics; CREATES

George Kapetanios

King's College, London

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

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

Gustavo Fruet Dias (Contact Author)

University of East Anglia (UEA) - School of Economics ( email )

3.06, Registry
University of East Anglia
Norwich, NR4 7TJ
United Kingdom

CREATES

School of Economics and Management
Building 1322, Bartholins Alle 10
DK-8000 Aarhus C
Denmark

George Kapetanios

King's College, London ( email )

30 Aldwych
London, WC2B 4BG
United Kingdom
+44 20 78484951 (Phone)

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