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A comparison of estimation methods for vector autoregressive moving-average models


Kascha, Christian Jonathan (2012). A comparison of estimation methods for vector autoregressive moving-average models. Econometric Reviews, 31(3):297-324.

Abstract

Recently, there has been a renewed interest in modeling economic time series by vectorautoregressive moving-average models. However, this class of models has been unpopularin practice because of estimation problems and the complexity of the identication stage.These disadvantages could have led to the dominant use of vector autoregressive modelsin macroeconomic research. In this paper, several simple estimation methods for vectorautoregressive moving-average models are compared among each other and with purevector autoregressive modeling using ordinary least squares by means of a Monte Carlostudy. Dierent evaluation criteria are used to judge the relative performances of the algorithms.

Recently, there has been a renewed interest in modeling economic time series by vectorautoregressive moving-average models. However, this class of models has been unpopularin practice because of estimation problems and the complexity of the identication stage.These disadvantages could have led to the dominant use of vector autoregressive modelsin macroeconomic research. In this paper, several simple estimation methods for vectorautoregressive moving-average models are compared among each other and with purevector autoregressive modeling using ordinary least squares by means of a Monte Carlostudy. Dierent evaluation criteria are used to judge the relative performances of the algorithms.

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4 citations in Web of Science®
6 citations in Scopus®
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Additional indexing

Item Type:Journal Article, refereed, original work
Communities & Collections:03 Faculty of Economics > Department of Economics
Dewey Decimal Classification:330 Economics
Date:2012
Deposited On:19 Jan 2012 16:28
Last Modified:05 Apr 2016 15:24
Publisher:Taylor & Francis
ISSN:0747-4938
Free access at:Related URL. An embargo period may apply.
Publisher DOI:https://doi.org/10.1080/07474938.2011.607343
Related URLs:http://www.econ.uzh.ch/faculty/kascha/er2varmamain.pdf
Other Identification Number:merlin-id:4204
Permanent URL: https://doi.org/10.5167/uzh-55669

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