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From general State-Space to VARMAX models

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 [ Documentos de trabajo del Instituto Complutense de Análisis Económico; nº 1002, ] (Unpublished)

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Abstract

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.


Item Type:Working Paper or Technical Report
Uncontrolled Keywords:State-Space, VARMAX models, Canonical forms, Echelon.
Subjects:Social sciences > Economics > Finance
Social sciences > Economics > Economic indicators
Series Name:Documentos de trabajo del Instituto Complutense de Análisis Económico
Volume:
Number:1002
ID Code:11450
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Deposited On:02 Nov 2010 09:38
Last Modified:06 Feb 2014 09:04

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