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VARMA models and macroeconomic modelling: some new methodology and algorithms

posted on 09.02.2017, 03:14 by Yao, Wenying
This thesis studies the usefulness of vector autoregressive moving average (VARMA) models in macroeconomic modelling and forecasting. This thesis aims to provide more evidence on the empirical performance of VARMA models, such as forecast evaluations and impulse response analysis. By doing so, it will contribute to the growing body of literature which uses VARMA models for macroeconomic modelling, and suggest that VARMA models can be both beneficial and relatively straightforward to estimate.


Campus location


Principal supervisor

Farshid Vahid

Additional supervisor 1

Heather Anderson, Don Poskitt, George Athanasopoulos

Year of Award


Department, School or Centre

Econometrics and Business Statistics


Doctor of Philosophy

Degree Type



Faculty of Business and Economics