A Complete VARMA modelling methodology based on Scalar Components

Journal of Time Series Analysis (2008), 29 (3), pp. 533-554.

 

George Athanasopoulos and Farshid Vahid

Department of Econometrics and Business Statistics, Monash University, VIC 3800, Australia.

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.

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