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A Complete VARMA Modelling Methodology Based on Scalar Components

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dc.contributor.authorAthanasopoulos, George
dc.contributor.authorVahid, Farshid
dc.date.accessioned2015-12-07T22:21:39Z
dc.date.issued2006
dc.date.updated2015-12-07T09:00:35Z
dc.description.abstractThis 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.
dc.identifier.issn0143-9782
dc.identifier.urihttp://hdl.handle.net/1885/20142
dc.publisherBlackwell Publishing Ltd
dc.sourceJournal of Time Series Analysis
dc.subjectKeywords: Identification; Multivariate time series; Scalar components; VARMA models
dc.titleA Complete VARMA Modelling Methodology Based on Scalar Components
dc.typeJournal article
local.bibliographicCitation.issue3
local.bibliographicCitation.lastpage554
local.bibliographicCitation.startpage533
local.contributor.affiliationAthanasopoulos, George, Monash University
local.contributor.affiliationVahid, Farshid, College of Business and Economics, ANU
local.contributor.authoruidVahid, Farshid, u4137903
local.description.embargo2037-12-31
local.description.notesImported from ARIES
local.identifier.absfor140303 - Economic Models and Forecasting
local.identifier.ariespublicationu4137903xPUB11
local.identifier.citationvolume29
local.identifier.doi10.1111/j.1467-9892.2007.00568.x
local.identifier.scopusID2-s2.0-42449141023
local.type.statusPublished Version

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