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VARMA
3 messages · Garten Stuhl, Giovanni Petris
Package dse does. HTH, Giovanni
On Wed, 2010-12-08 at 17:45 +0100, Garten Stuhl wrote:
Hi all, I want to estimate parameters from a VARMA(p,q)-Modell. The equations of the model or the model structures is given by: Xt=beta1+beta2*Xt-1+beta3*Yt-1+epsilon1 Yt=beta4+beta5*Yt-1+espilon2 epsilon1 and espilon2 are white noise. Xt is given by a vector of n elements e.g. (2, 4, 7, 9, ,n) and Yt is given by a vector of n elements e.g. (4,9,12,17,,n). The lineVar from tsDyn allows estimating VAR(p)-processes but not VARMA(p,q)-processes and support not the explained model structure of Xt and Yt. Is there any easy understandable program available that supports estimation of these model parameters ? Thanks so much. Best, Thomas [[alternative HTML version deleted]]
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