Journal of the American Statistical Association · 1983 · 93 citations · 17 references
BusinessBusiness EconomicsEconometricsStatistical ModelingTime Series AnalysisCointegration AnalysisEstimation TheoryMultivariate ForecastingTime Series EconometricsTime Series ForecastingTime Series ModelingAutoregressive Distributed Lag ModelsAutoregressive Moving Average ModelsDistributed Lag ModelsMoving Average ModelsMultivariate Time Series ModelingSample Size CalculationVector AutoregressionVector Autoregressive Models
Abstract A very fast and simple algorithm for estimation of the parameters of large multivariate time series and distributed lag models is presented. An analysis of the distribution of the estimates shows that they are asymptotically normal and unbiased, and that they have a variance that decreases like 1/n, n being the sample size. The algorithm is especially applicable for estimation of large multivariate models where it is generally many times faster than maximalization algorithms.
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Time Series Analysis: Forecasting and Control
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