monash_7222.pdf (432.82 kB)

A complete VARMA modelling methodology based on scalar components

Download (432.82 kB)
journal contribution
posted on 06.06.2017, 03:44 by Athanasopoulos, George, Vahid, Farshid
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.

History

Year of first publication

2006

Series

Department of Econometrics and Business Statistics.

Exports

Categories

Exports