Template-type: ReDIF-Paper 1.0
Author-Name: José Casals Carro
Author-Email: jcasalsc@cajamadrid.es
Author-Workplace-Name: Departamento de Fundamentos de Análisis Económico II, Universidad Complutense de Madrid.
Author-Workplace-Homepage: https://www.ucm.es/fundamentos-analisis-economico2
Author-Name: Alfredo García-Hiernaux
Author-Email: agarciah@ccee.ucm.es
Author-Person: phi35
Author-Homepage: https://www.ucm.es/fundamentos-analisis-economico2/garcia-hiernaux,-alfredo
Author-Workplace-Name: Departamento de Fundamentos de Análisis Económico II, Universidad Complutense de Madrid.
Author-Workplace-Homepage: https://www.ucm.es/fundamentos-analisis-economico2
Author-Name: Miguel Jerez
Author-Email: mjerez@ccee.ucm.es 
Author-Person: pje52
Author-Homepage: https://www.ucm.es/fundamentos-analisis-economico2/jerez-mendez,-miguel
Author-Workplace-Name: Departamento de Fundamentos de Análisis Económico II, Universidad Complutense de Madrid.
Author-Workplace-Homepage: https://www.ucm.es/fundamentos-analisis-economico2
Title: From general State-Space to VARMAX models
Abstract: Fixed coecients State-Space and VARMAX models are equivalent, meaning that they are able to represent 
	the same linear dynamics, being indistinguishable in terms of overall fit. However, each representation 
	can be specifically adequate for certain uses, so it is relevant to be able to choose
	between them. To this end, we propose two algorithms to go from general State-Space models to VARMAX forms. 
	The first one computes the coeficients of a standard VARMAX model under some assumptions while the second, 
	which is more general, returns the coeficients of a VARMAX echelon. These procedures supplement the results 
	already available in the literature allowing one to obtain the State-Space model matrices corresponding to 
	any VARMAX. The paper also discusses some applications of these procedures by solving several theoretical 
	and practical problems.
Keywords: State-Space, VARMAX models, Canonical forms, Echelon.
Length: pages 28 
Creation-Date: 2010 
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/doicae1002.txt
File-URL: https://eprints.ucm.es/id/eprint/11450/1/1002.pdf
File-Format: Application/pdf
Handle: RePEc:ucm:doicae:1002