10.4225/03/59362525b30c5 Athanasopoulos, George George Athanasopoulos Vahid, Farshid Farshid Vahid A complete VARMA modelling methodology based on scalar components Monash University 2017 monash:7222 Multivariate time series 1959.1/38909 VARMA models Scalar components Identification 2006 2017-06-06 03:44:36 Journal contribution https://bridges.monash.edu/articles/journal_contribution/A_complete_VARMA_modelling_methodology_based_on_scalar_components/5081125 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.