Vector ARMA Models and Macroeconomic Modelling: Some New Methodology and Algorithms

Project: Research

Project Description

Most multivariate time series models currently used for policy analysis and forecasting, in particular in the area of macroeconomics, are variants of vector autoregressive (VAR) models. However, theoretical and empirical evidence of the inadequacy of VAR models is mounting. In this project, we advance the theory of multivariate time series and develop an algorithm for building a more general class of models that do not have the limitations of VAR models. We show that our methodology provides a smarter approach to extracting information from observed data, and it will lead to models that are more reliable for policy analysis and forecasting.
StatusFinished
Effective start/end date1/01/0931/12/13

Funding

  • Australian Research Council (ARC): AUD152,171.00
  • Australian Research Council (ARC)
  • Australian Research Council (ARC): AUD235,772.00
  • Monash University
  • Australian National University