A complete VARMA modelling methodology based on scalar components

George Athanasopoulos () and Farshid Vahid ()

Journal of Time Series Analysis, 2008, vol. 29, issue 3, pages 533-554

Abstract: This article 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. Copyright 2008 The Authors

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Working Paper: A Complete VARMA Modelling Methodology Based on Scalar Components (2006)
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