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In this paper, we study the asymptotic distribution of a simple two-stage (Hannan-Rissanen-type) linear estimator for stationary invertible vector autoregressive moving average (VARMA) models in the echelon form representation. General conditions for consistency and asymptotic normality are...
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techniques as well as standard Gaussian asymptotic distributional theory. Bootstrap procedures are also considered. For the case … régression linéaire de même que la théorie distributionnelle asymptotique gaussienne habituelle. Dans le cas des processus … intégrés, nous proposons des méthodes de régression étendue qui ne requièrent pas de théorie asymptotique non standard. L …
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