The exact likelihood function for the vector ARMA model

José Alberto Mauricio Arias ()
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José Alberto Mauricio Arias: Departamento de Análisis Económico y Economía Cuantitativa. Facultad de Ciencias Económicas y Empresariales. Universidad Complutense Madrid.

No 9317, Documentos de Trabajo del ICAE from Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico

Abstract: This paper implements in Fortran 77 a new algorithm which has the same purpose as algorithm AS 242 of Shea (1989), namely to compute the exact likelihood function of a vector ARMA model. The new algorithm turns out to be faster in many relevant cases and not appreciably slower in any. In addition to advantages offered by the algorithm of Shea (1989), including the calculation of an appropiate set of residuals, it also permits the automatic detection of noninvertible models as a byproduct. The Fortran 77 code presented here combines improved versions of the algorithms due to Ljung and Box (1979) and Hall and Nicholls (1980) with an algorithm of Kohn and Ansley (1982). The resulting procedure puts together a set of useful features which can only be found separately in other existing methods.

Keywords: Vector; ARMA; model. (search for similar items in EconPapers)
Pages: 17 pages
Date: 1993
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