Search Results - subject:"Varma Models"

Selection of weak VARMA models by modified Akaike's information criteria

Boubacar Mainassara, Yacouba - Volkswirtschaftliche Fakultät, … - 2010

This article considers the problem of order selection of the vector autoregressive moving-average models and of the sub-class of the vector autoregressive models under the assumption that the errors are uncorrelated but not necessarily independent. We propose a modified version of the AIC...

Persistent link: https://www.econbiz.de/10008685162

VARMA models for Malaysian Monetary Policy Analysis

Raghavan, Mala; Athanasopoulos, George; Silvapulle, Param - Department of Econometrics and Business Statistics, … - 2009

This paper establishes vector autoregressive moving average (VARMA) models for Malaysian monetary policy analysis by …

Persistent link: https://www.econbiz.de/10005003386

Estimating structural VARMA models with uncorrelated but non-independent error terms

Boubacar Mainassara, Yacouba; Francq, Christian - Volkswirtschaftliche Fakultät, … - 2009

-average (VARMA) models are derived under the assumption that the errors are uncorrelated but not necessarily independent. Relaxing … the independence assumption considerably extends the range of application of the VARMA models, and allows to cover linear …

Persistent link: https://www.econbiz.de/10005014730

Multivariate portmanteau test for structural VARMA models with uncorrelated but non-independent error terms

Boubacar Mainassara, Yacouba - Volkswirtschaftliche Fakultät, … - 2009

We consider portmanteau tests for testing the adequacy of vector autoregressive moving-average (VARMA) models under the … extend the range of application of the VARMA models, and allow to cover linear representations of general nonlinear processes … Box-Pierce) portmanteau statistics for VARMA models with nonindependent innovations. In the standard framework (i.e. under …

Persistent link: https://www.econbiz.de/10008602744

Business cycle and Markov switching models with distributed lags : a comparison between US and euro area

Billio, Monica; Cavicchioli, Maddalena - In: Rivista italiana degli economisti : the journal of the … 19 (2014) 2, pp. 253-276

Persistent link: https://www.econbiz.de/10010407958

A Comparison of Estimation Methods for Vector Autoregressive Moving-Average Models

Kascha, Christian - Department of Economics, European University Institute - 2007

Classical Gaussian maximum likelihood estimation of mixed vector autoregressive moving-average models is plagued with various numerical problems and has been considered di±cult by many applied researchers. These disadvantages could have led to the dominant use of vector autoregressive models in...

Persistent link: https://www.econbiz.de/10005697668

The Effect of Long Memory in Volatility on Stock Market Fluctuations

Christensen, Bent Jesper; Nielsen, Morten Ørregaard - School of Economics and Management, University of Aarhus - 2007

Recent empirical evidence demonstrates the presence of an important long memory component in realized asset return volatility. We specify and estimate multivariate models for the joint dynamics of stock returns and volatility that allow for long memory in volatility without imposing this...

Persistent link: https://www.econbiz.de/10005198855

VARMA versus VAR for Macroeconomic Forecasting

Athanasopoulos, George; Vahid, Farshid - Department of Econometrics and Business Statistics, … - 2006

computing power. To support this claim, we use real macroeconomic data and show that VARMA models forecast macroeconomic …

Persistent link: https://www.econbiz.de/10005087575

A Complete VARMA Modelling Methodology Based on Scalar Components

Athanasopoulos, George; Vahid, Farshid - Department of Econometrics and Business Statistics, … - 2006

This paper proposes an extension to scalar component methodology for the identification and estimation of VARMA models …

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

Determining the MSE-optimal cross section to forecast

Arbués, Ignacio - In: Journal of Econometrics 175 (2013) 2, pp. 61-70

In this paper, we address the question of which subset of time series should be selected among a given set in order to forecast another series. We evaluate the quality of the forecasts in terms of Mean Squared Error. We propose a family of criteria to estimate the optimal subset. Consistency...

Persistent link: https://www.econbiz.de/10010666081