Econometrica: Jul 1983, Volume 51, Issue 4
The Properties of the Parameterization of Armax Systems and Their Relevance for Structural Estimation and Dynamic Specification
M. DeistlerARMAX systems in structural specification are considered. Topological and geometric properties of the parameter space and of the parameterization which are important for the properties of the estimators, regardless of their special form, are investigated and the specification of the maximum lag lengths is discussed.
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