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Identifying the time-effect factors of multiple time series

✍ Scribed by Yu-pin Hu

Publisher
John Wiley and Sons
Year
2005
Tongue
English
Weight
88 KB
Volume
24
Category
Article
ISSN
0277-6693

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✦ Synopsis

Abstract

The PeΓ±a–Box model is considered for finding the time‐effect factors of a multiple time series. This paper first establishes the connection between the PeΓ±a–Box model and the vector ARMA model. According to the PeΓ±a–Box model, some series can be ignored while modelling the vector ARMA model. A consistent estimator is then proposed to identify the model for nonlinear and nonstationary time series. Finally, the finite‐sample behaviour of the estimator is illustrated via simulations. Copyright Β© 2005 John Wiley & Sons, Ltd.

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