A Complete VARMA Modelling Methodology Based on Scalar Components

George Athanasopoulos () and Farshid Vahid ()

No 2/06, Monash Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics

Abstract: 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.

Keywords: Identification; Multivariate time series; Scalar components; VARMA models. (search for similar items in EconPapers)
JEL-codes: C32 C51 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-ets
Date: 2006-01
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Journal Article: A complete VARMA modelling methodology based on scalar components (2008)
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