A Comparison of Estimation Methods for Vector Autoregressive Moving-Average Models
AbstractClassical 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 macroeconomic research. Therefore, several other, simpler estimation methods have been proposed in the literature. In this paper these methods are compared by means of a Monte Carlo study. Different evaluation criteria are used to judge the relative performances of the algorithms.
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Date of creation: 2007
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VARMA Models; Estimation Algorithms; Forecasting;
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
This paper has been announced in the following NEP Reports:
- NEP-ALL-2007-07-07 (All new papers)
- NEP-ECM-2007-07-07 (Econometrics)
- NEP-ETS-2007-07-07 (Econometric Time Series)
- NEP-FOR-2007-07-07 (Forecasting)
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