In this paper we propose bootstrapping Hannan and Rissanen (1982) estimators in stationary invertible VARMA models, with known order (p, q). Although we consider bootstrapping such models under the echelon form parameterization, the results we derive herein remain valid to other alternative identification issues. In particular, we shall exploit the theoretical developments stated in Dufour and ...

A useful class of partially nonstationary vector autoregressive moving average (VARMA) models is considered with regard to parameter estimation. An exact maximum likelihood (EML) approach is developed on the basis of a simple transformation applied to the error-correction representation of the models considered. The employed transformation is shown to provide a standard VARMA model with the imp...

Strong consistency and asymptotic normality of a Gaussian quasi-maximum likelihood estimator for the parameters causal, invertible, identifiable vector autoregressive-moving average (VARMA) model are established in an indirect way. The proof is based on similar results much wider class VARMA models with time-dependent coefficients, hence context non-stationary heteroscedastic time series. For t...

This paper builds a structural VARMA (SVARMA) model for investigating Canadian monetary policy. Despite the support for a VARMA model for monetary policy analysis, the traditional VAR and SVAR models have predominantly been used in the literature mainly due to difficulties associated with the identification and estimation of such a model. Using the scalar component model (SCM) proposed by Athan...

In this paper we study two methodologies which identify and specify canonical form VARMA models. The two methodologies are: (i) an extension of the scalar component methodology which specifies canonical VARMA models by identifying scalar components through canonical correlations analysis and (ii) the Echelon form methodology which specifies canonical VARMA models through the estimation of Krone...

0.1 Asymptotic Distribution for Conditional MLE of VARMA Models For a well-defined stationary and invertible VARMA(p, q) model, we assume that the innovations {at} satisfies (a) E(at|Ft−1) = 0, (b) E(atat|Ft−1) = Σ > 0, and (c) at has finite fourth moments, where Ft−1 denotes the σ-field generated by {zt−1, zt−2, · · ·}. It has been proven (Dunsmuir and Hannan, 1976, and Hannan and Deistler, 19...

In this paper, we take a step forward from the existing monetary literature, which is largely dominated by vector autoregressive (VAR) and structural vector autoregressive (SVAR) models, and apply a vector autoregressive moving average (VARMA) methodology for modelling and analysing Malaysian monetary policy. The Malaysian economy is an interesting case study of a small open economy with capita...