Greetings! I hope all you are safe at this trying time!
I have been trying to fit an structural vector autoregression and moving
average (SVARMA) model on 3 time series , for example, GDP growth, interest
rates, and inflation. I find there are packages to estimate SVAR or VARMA
model. However, I am not able to merge SVAR with MA components. SVARMA
model offers better way to estimate impulse response with less number of
lags as compared to SVAR.
It would be of great help if anyone of you can kindly show me the way.
Thanking you in advance!
Wish everyone a good day!
Indian Institute of Management Indore