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...

pace 2013;15(Suppl 1):i14–i16. 8. Varma N, Epstein A, Irimpen A, Schweikert R, Shah J, Love CJ. Efficacy and safety of automatic remote monitoring for ICD follow-up: the TRUST trial. Circulation 2010; 122:325–332. 9. Varma N. Rationale and design of a prospective study of the efficacy of a remote monitoring system used in ICD follow-up: the Lumos-T reduces routine office device follow-up study ...