Two Canonical VARMA Forms: Scalar Component Models Vis-à-Vis the Echelon Form
比较了两种识别和设定规范VARMA模型的方法：标量分量方法和阶梯形式方法，从理论、蒙特卡洛模拟和实际宏观经济数据预测三方面对比其表现。
In this article we study two methodologies which identify and specify canonical form VARMA models. The two methodologies are: (1) an extension of the scalar component methodology which specifies canonical VARMA models by identifying scalar components through canonical correlations analysis; and (2) the Echelon form methodology, which specifies canonical VARMA models through the estimation of Kronecker indices. We compare the actual forms and the methodologies on three levels. Firstly, we present a theoretical comparison. Secondly, we present a Monte Carlo simulation study that compares the performances of the two methodologies in identifying some pre-specified data generating processes. Lastly, we compare the out-of-sample forecast performance of the two forms when models are fitted to real macroeconomic data.