A complete VARMA modelling methodology based on scalar components

George Athanasopoulos () and Farshid Vahid

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

Abstract: 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.

Date: 2008
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Citations: View citations in EconPapers (20)

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https://doi.org/10.1111/j.1467-9892.2007.00568.x

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Working Paper: A Complete VARMA Modelling Methodology Based on Scalar Components (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:29:y:2008:i:3:p:533-554

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