Graphical models for structural VARMA representations
Marco Reale, Granville Tunnicliffe Wilson · 2009
Abstract: Sparse structural VAR representation can effectively be identified by using graphical modeling. In this paper we extend this approach to the the identification of sparse structural VARMA representations. We illustrate our methods with an application to a set of three monthly flour price series that has been the subject of previous approaches to structural VARMA modeling. We compare and contrast structural VARMA(1,1) and VAR(2) models for this data.