Specification of Echelon-Form VARMA Models
讨论VARMA模型阶梯型的优势，提出从数据中设定阶梯型模型的一般策略，并回顾选择Kronecker指数的方法，通过面粉价格和德国利率期限结构数据验证可行性。
The echelon form of a VARMA (vector autoregressive moving average) model is considered. Its advantages over other identified VARMA representations are discussed. Furthermore, a general strategy for specifying echelon-form VARMA models from data is presented. Specifically procedures for choosing the Kronecker indices that characterize an echelon form are reviewed. The feasibility of the method is demonstrated by analyzing a well-known set of flour-price time series and the term structure of German interest rates.