Seminars 2007 — Abstracts
Friday, August 10
Speaker:
George Athanasopoulos,
Monash
Title:
Identifying and estimating VARMA models
Abstract: I will present an overview of my
research on the identification and estimation of VARMA models. I will argue
that given the recent advances in VARMA modelling methodology and the improvements
in computing power, there is no compelling reason for restricting the class
of multivariate models considered for macroeconomic modelling and forecasting
to VARs. To support this claim I will present a complete scalar component
methodology for identifying and estimating canonical VARMA models and demonstrate
its application to a well known multivariate data set. The methodology will
then be used in an extensive forecasting competition where I will show that
VARMA models forecast macroeconomic variables more accurately than VARs.
Through Monte-Carlo simulations I will highlight the key reasons for this
important result. Finally I will briefly present the alternative echelon
form VARMA methodology, its relationship to scalar components, and discuss
our work in progress to fully automate this process which I believe is the
key for popularising VARMA models.
