Hi all,



I want to estimate parameters from a VARMA(p,q)-Modell.



The equations of the model or the model structures is given by:



Xt=beta1+beta2*Xt-1+beta3*Yt-1+epsilon1

Yt=beta4+beta5*Yt-1+espilon2



epsilon1 and espilon2 are white noise.



Xt is given by a vector of n elements e.g. (2, 4, 7, 9, …,n)’ and Yt is
given by a vector of n elements e.g. (4,9,12,17,…,n)’.



The lineVar from tsDyn allows estimating VAR(p)-processes but not
VARMA(p,q)-processes and support not the explained model structure of Xt and
Yt.



Is there any easy understandable program available that supports estimation
of these model parameters ?



Thanks so much.



Best,

Thomas

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