Moment-Based Estimation of VARMA Parameters

• Activity Number: 310
• Type: Contributed
• Date/Time: Tuesday, August 11, 2015 : 8:30 AM to 10:20 AM
• Sponsor: Business and Economic Statistics Section
• Author(s): Anindya Roy* and Tucker Sprague McElroy
• Companies: University of Maryland, Baltimore County and U.S. Census Bureau
• Keywords: spectral density ; reparameterization ; causal ; invertible ; optimization ; likelihood

Abstract

We use a causal invertible parameterization of a general VARMA process to estimate the parameters using the autocovariance sequence. The estimation method does not require full likelihood evaluation which can be computationally expensive, and provides estimates that are restricted to the causal invertible region. The estimators can be used as stand alone estimators or as initial input to numerical procedures for more efficient likelihood based estimators. We compare the finite sample properties of the estimator with a few other available estimators, some of which are not necessarily restricted to the causal invertible region.