A Complete VARMA Modelling Methodology Based on Scalar Components

This paper proposes an extension to scalar component methodology for the identification and estimation of VARMA models. The complete methodology determines the exact positions of all free parameters in any VARMA model with a predetermined embedded scalar component structure. This leads to an exactly identified system of equations that is estimated using full information maximum likelihood.

MoreLess

Year of publication:	2006-01
Authors:	Athanasopoulos, George ; Vahid, Farshid
Institutions:	Department of Econometrics and Business Statistics, Monash Business School
Subject:	Identification \| Multivariate time series \| Scalar components \| VARMA models

More details

Extent:	application/pdf
Series:	Monash Econometrics and Business Statistics Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 2/06 20 pages
Classification:	C32 - Time-Series Models ; C51 - Model Construction and Estimation
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005581158