Sophocles, you should be able to estimate a vector ARMA model using
SSFpack.
However, not being familiar with the intricacies of identification and the
like in such models I would be grateful if someone who has used this
package could comment on its usefulness in the present setting, in
particular with regard to the covariance estimator Sophocles is referring
to. Many thanks.
Regards,
Michael
______________________________________________
Michael Massmann
NIESR and Lincoln College, Oxford
mail: NIESR, 2 Dean Trench St, London SW1P 3HE
phone: 0207 654 1933
fax: 0207 654 1900
email: [log in to unmask]
---------- Forwarded message ----------
Date: Thu, 22 Nov 2001 15:36:15 -0000
From: Sophocles Mavroeidis <[log in to unmask]>
To: [log in to unmask]
Subject: Vector MA estimation
Dear Ox-users,
Does anybody have any code on the estimation of vector MA(p) processes, that
they would be happy to send me?
(Or alternatively, has anybody implemented the West (1998) MA-l parametric
HAC covariance estimator?)
Thank you,
Sophocles
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Department of Economics
Manor Road Building,
Manor Road,
University of Oxford,
Oxford, OX1 3UQ
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