Two canonical VARMA forms: Scalar component models vis-a-vis the Echelon form

Research output: Contribution to journalArticleResearchpeer-review

Abstract

In this article we study two methodologies which identify and specify canonical form VARMA models. The two methodologies are: (1) an extension of the scalar component methodology which specifies canonical VARMA models by identifying scalar components through canonical correlations analysis; and (2) the Echelon form methodology, which specifies canonical VARMA models through the estimation of Kronecker indices. We compare the actual forms and the methodologies on three levels. Firstly, we present a theoretical comparison. Secondly, we present a Monte Carlo simulation study that compares the performances of the two methodologies in identifying some pre-specified data generating processes. Lastly, we compare the out-of-sample forecast performance of the two forms when models are fitted to real macroeconomic data.
Original languageEnglish
Pages (from-to)60 - 83
Number of pages24
JournalEconometric Reviews
Volume31
Issue number1
DOIs
Publication statusPublished - 2012

Cite this

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title = "Two canonical VARMA forms: Scalar component models vis-a-vis the Echelon form",
abstract = "In this article we study two methodologies which identify and specify canonical form VARMA models. The two methodologies are: (1) an extension of the scalar component methodology which specifies canonical VARMA models by identifying scalar components through canonical correlations analysis; and (2) the Echelon form methodology, which specifies canonical VARMA models through the estimation of Kronecker indices. We compare the actual forms and the methodologies on three levels. Firstly, we present a theoretical comparison. Secondly, we present a Monte Carlo simulation study that compares the performances of the two methodologies in identifying some pre-specified data generating processes. Lastly, we compare the out-of-sample forecast performance of the two forms when models are fitted to real macroeconomic data.",
author = "George Athanasopoulos and Poskitt, {Don Stephen} and Farshid Vahid-Araghi",
year = "2012",
doi = "10.1080/07474938.2011.607088",
language = "English",
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pages = "60 -- 83",
journal = "Econometric Reviews",
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Two canonical VARMA forms: Scalar component models vis-a-vis the Echelon form. / Athanasopoulos, George; Poskitt, Don Stephen; Vahid-Araghi, Farshid.

In: Econometric Reviews, Vol. 31, No. 1, 2012, p. 60 - 83.

Research output: Contribution to journalArticleResearchpeer-review

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AB - In this article we study two methodologies which identify and specify canonical form VARMA models. The two methodologies are: (1) an extension of the scalar component methodology which specifies canonical VARMA models by identifying scalar components through canonical correlations analysis; and (2) the Echelon form methodology, which specifies canonical VARMA models through the estimation of Kronecker indices. We compare the actual forms and the methodologies on three levels. Firstly, we present a theoretical comparison. Secondly, we present a Monte Carlo simulation study that compares the performances of the two methodologies in identifying some pre-specified data generating processes. Lastly, we compare the out-of-sample forecast performance of the two forms when models are fitted to real macroeconomic data.

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