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A number of articles in the last two decades have conjectured that this is because estimation of VARMAs is perceived to be challenging and proposed various ways to simplify it. Nevertheless, VARMAs continue to be largely dominated by VARs, particularly in terms of developing useful extensions. We address these computational challenges with a Bayesian approach. Specifically, we develop a Gibbs sampler for the basic VARMA, and demonstrate how it can be extended to models with time\u2010varying vector moving average (VMA) coefficients and stochastic volatility. We illustrate the methodology through a macroeconomic forecasting exercise. We show that in a class of models with stochastic volatility, VARMAs produce better density forecasts than VARs, particularly for short forecast horizons.<\/jats:p>","DOI":"10.1002\/jae.2576","type":"journal-article","created":{"date-parts":[[2017,6,7]],"date-time":"2017-06-07T08:42:40Z","timestamp":1496824960000},"page":"1277-1297","source":"Crossref","is-referenced-by-count":9,"title":["Efficient estimation of Bayesian VARMAs with time\u2010varying coefficients"],"prefix":"10.1002","volume":"32","author":[{"given":"Joshua C.C.","family":"Chan","sequence":"first","affiliation":[{"name":"Economics Discipline Group University of Technology Sydney  NSW Australia"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Eric","family":"Eisenstat","sequence":"additional","affiliation":[{"name":"School of Economics University of Queensland  Brisbane, Qld 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