Autore
KASCHA, Christian

Titolo
A Comparison of Estimation Methods for Vector Autoregressive Moving-Average Models
Periodico
European University Institute of Badia Fiesolana (Fi). Department of Economics - Working papers
Anno: 2007 - Fascicolo: 12 - Pagina iniziale: 1 - Pagina finale: 54

Classical Gaussian maximum likelihood estimation of mixed vector autoregressive moving-average models is plagued with various numerical problems and has been considered difficult by many applied researchers. These disadvantages could have led to the dominant use of vector autoregressive models in macroeconomic research. Therefore, several other, simpler estimation methods have been proposed in the literature. In this paper these methods are compared by means of a Monte Carlo study. Different evaluation criteria are used to judge the relative performances of the algorithms.




Esportazione dati in Refworks (solo per utenti abilitati)