In vector autoregressive modeling, the order selected with the Akaike Information Criterion tends to be too high. This effect is called overfit. Finite sample effects are an important cause of overfit. By incorporating finite sample effects, an order selection criterion for vector AR models can be found with an optimal trade-off of underfit and overfit. The finite sample formulae in this paper ...

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...