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A Complete VARMA Modelling Methodology Based on Scalar Components

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Author Info
George Athanasopoulos ()
Farshid Vahid ()

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Abstract

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.

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File URL: http://www.buseco.monash.edu.au/depts/ebs/pubs/wpapers/2006/wp2-06.pdf
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Publisher Info
Paper provided by Monash University, Department of Econometrics and Business Statistics in its series Monash Econometrics and Business Statistics Working Papers with number 2/06.

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Length: 20 pages
Date of creation: Jan 2006
Date of revision:
Handle: RePEc:msh:ebswps:2006-2

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Related research
Keywords: Identification; Multivariate time series; Scalar components; VARMA models.;

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Find related papers by JEL classification:
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions
C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Vahid, Farshid & Engle, Robert F., 1997. "Codependent cycles," Journal of Econometrics, Elsevier, vol. 80(2), pages 199-221, October. [Downloadable!] (restricted)
  2. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July. [Downloadable!] (restricted)
  3. Anderson, Heather M. & Vahid, Farshid, 1998. "Testing multiple equation systems for common nonlinear components," Journal of Econometrics, Elsevier, vol. 84(1), pages 1-36, May. [Downloadable!] (restricted)
  4. Clements, M.P. & Hendry, D., 1992. "On the Limitations of Comparing Mean Square Forecast Errors," Economics Series Working Papers 99138, University of Oxford, Department of Economics.
  5. George Athanasopoulos & Farshid Vahid, 2006. "VARMA versus VAR for Macroeconomic Forecasting," Monash Econometrics and Business Statistics Working Papers 4/06, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
    Other versions:
  6. Lutkepohl, Helmut & Poskitt, D S, 1996. "Specification of Echelon-Form VARMA Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(1), pages 69-79, January.
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. George Athanasopoulos & D.S. Poskitt & Farshid Vahid, 2007. "Two canonical VARMA forms: Scalar component models vis-à-vis the Echelon form," Monash Econometrics and Business Statistics Working Papers 10/07, Monash University, Department of Econometrics and Business Statistics, revised May 2009. [Downloadable!]
  2. George Athanasopoulos & Farshid Vahid, 2006. "VARMA versus VAR for Macroeconomic Forecasting," Monash Econometrics and Business Statistics Working Papers 4/06, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
    Other versions:
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