Penm, Jack H.W; Penm, Jammie H.; Terrell, R. Deane - 2003
A vector time series model of the form A(L)y(t)+B(L)x(t)=e(t), is known as a vector autoregressive model with exogenous variables (VARX model) and involves a regressand vector y(t) and a regressor vector x(t). This chapter provides a method for the recursive fitting of subset VARX models. It...