BARTEL, HOLGER; LUTKEPOHL, HELMUT - In: Econometrics Journal 1 (1998) ConferenceIssue, pp. 76-76
VARMA models can be parameterized by using the echelon form, which is characterized by the Kronecker indices. Three … different methods for estimating the Kronecker indices of echelon-form VARMA models are discussed and compared. The three … sequential algorithm is used in which all echelon-form restrictions implied by the Kronecker indices found in preceding steps are …