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A Complete VARMA Modelling Methodology Based on Scalar Components

  • George Athanasopoulos

    ()

  • Farshid Vahid

    ()

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/ebs/pubs/wpapers/2006/wp2-06.pdf
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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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Web page: http://www.buseco.monash.edu.au/depts/ebs/
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  1. 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.
  2. 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.
  3. D.S. Poskitt, . "Specification of echelon form VARMA models," Statistic und Oekonometrie 9305, Humboldt Universitaet Berlin.
  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. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
  6. Vahid, Farshid & Engle, Robert F., 1997. "Codependent cycles," Journal of Econometrics, Elsevier, vol. 80(2), pages 199-221, October.
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