Journal Of The Econometric Society

An International Society for the Advancement of Economic
Theory in its Relation to Statistics and Mathematics

Edited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262

Econometrica: Jul, 1983, Volume 51, Issue 4

The Properties of the Parameterization of Armax Systems and Their Relevance for Structural Estimation and Dynamic Specification<1187:TPOTPO>2.0.CO;2-C
p. 1187-1208

M. Deistler

ARMAX 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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