Zadrozny, P. A.; Mittnik, S. Kalman-filtering methods for computing information matrices for time- invariant, periodic, and generally time-varying VARMA models and samples. (English) Zbl 0799.62100 Comput. Math. Appl. 28, No. 4, 107-119 (1994). MSC: 62M20 65C99 PDFBibTeX XMLCite \textit{P. A. Zadrozny} and \textit{S. Mittnik}, Comput. Math. Appl. 28, No. 4, 107--119 (1994; Zbl 0799.62100) Full Text: DOI
Mittnik, Stefan; Zadrozny, Peter A. Asymptotic distributions of impulse responses, step responses, and variance decompositions of estimated linear dynamic models. (English) Zbl 0780.62016 Econometrica 61, No. 4, 857-870 (1993). MSC: 62E20 62M10 62P20 62H10 PDFBibTeX XMLCite \textit{S. Mittnik} and \textit{P. A. Zadrozny}, Econometrica 61, No. 4, 857--870 (1993; Zbl 0780.62016) Full Text: DOI