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From general State-Space to VARMAX models


Casals Carro, José y García Hiernaux, Alfredo y Jerez Méndez, Miguel (2010) From general State-Space to VARMAX models. [ Documentos de trabajo del Instituto Complutense de Análisis Económico; nº 1002, ] (No publicado)

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Fixed coecients State-Space and VARMAX models are equivalent, meaning that they are able to represent the same linear dynamics, being indistinguishable in terms of overall fit. However, each representation can be specically adequate for certain uses, so it is relevant to be able to choose
between them. To this end, we propose two algorithms to go from general State-Space models to VARMAX forms. The rst one computes the coecients of a standard VARMAX model under some assumptions while the second, which is more general, returns the coecients of a VARMAX echelon. These procedures supplement the results already available in the literature allowing one to obtain the State-Space model matrices corresponding to any VARMAX. The paper also discusses some applications of these procedures by solving several theoretical and practical problems.

Tipo de documento:Documento de trabajo o Informe técnico
Palabras clave:State-Space, VARMAX models, Canonical forms, Echelon.
Materias:Ciencias Sociales > Economía > Finanzas
Ciencias Sociales > Economía > Indicadores económicos
Título de serie o colección:Documentos de trabajo del Instituto Complutense de Análisis Económico
Código ID:11450

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Depositado:02 Nov 2010 09:38
Última Modificación:06 Feb 2014 09:04

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