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Forecasting with VARMA Models

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Lutkepohl, Helmut

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Abstract

Vector autoregressive moving-average (VARMA) processes are suitable models for producing linear forecasts of sets of time series variables. They provide parsimonious representations of linear data generation processes. The setup for these processes in the presence of stationary and cointegrated variables is considered. Moreover, unique or identified parameterizations based on the echelon form are presented. Model specification, estimation, model checking and forecasting are discussed. Special attention is paid to forecasting issues related to contemporaneously and temporally aggregated VARMA processes. Predictors for aggregated variables based alternatively on past information in the aggregated variables or on disaggregated information are compared.

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This chapter was published in: G. Elliott & C. Granger & A. Timmermann (ed.) , Elsevier, chapter 06, pages 287-325, 2006.

This item is provided by Elsevier in its series Handbook of Economic Forecasting with number 1-06.

Handle: RePEc:eee:ecofch:1-06

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This chapter was published in the following book, which is listed on IDEAS:
G. Elliott & C. Granger & A. Timmermann (ed.), 2006. "Handbook of Economic Forecasting," Handbook of Economic Forecasting, Elsevier, edition 1, volume 1, number 1. [Downloadable!] (restricted)
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  2. Kohn, Robert, 1982. "When is an aggregate of a time series efficiently forecast by its past?," Journal of Econometrics, Elsevier, vol. 18(3), pages 337-349, April. [Downloadable!] (restricted)
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  6. Lutkepohl, Helmut, 1986. "Forecasting Vector ARMA Processes with Systematically Missing Observations," Journal of Business & Economic Statistics, American Statistical Association, vol. 4(3), pages 375-90, July.
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  11. Gregoir, Stephane & Laroque, Guy, 1994. "Polynomial cointegration estimation and test," Journal of Econometrics, Elsevier, vol. 63(1), pages 183-214, July. [Downloadable!] (restricted)
  12. Baillie, Richard T, 1981. "Prediction from the Dynamic Simultaneous Equation Model with Vector Autoregressive Errors," Econometrica, Econometric Society, vol. 49(5), pages 1331-37, September. [Downloadable!] (restricted)
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  16. Hannan, E J, 1976. "The Identification and Parameterization of ARMAX and State Space Forms," Econometrica, Econometric Society, vol. 44(4), pages 713-23, July. [Downloadable!] (restricted)
  17. Grigoletto, Matteo, 1998. "Bootstrap prediction intervals for autoregressions: some alternatives," International Journal of Forecasting, Elsevier, vol. 14(4), pages 447-456, December. [Downloadable!] (restricted)
  18. D. Poskitt & H. L"Utkepohl, . "Consistent Specification of Cointegrated Autoregressive Moving-Average Systems," Sonderforschungsbereich 373 1995-54, Humboldt Universitaet Berlin.
  19. George Kapetanios, 2002. "A Note on an Iterative Least Squares Estimation Method for ARMA and VARMA Models," Working Papers 467, Queen Mary, University of London, Department of Economics. [Downloadable!]
  20. Dietmar Bauer & Martin Wagner, 2003. "A Canonical Form for Unit Root Processes in the State Space Framework," Diskussionsschriften dp0312, Universitaet Bern, Departement Volkswirtschaft. [Downloadable!]
    Other versions:
  21. Masarotto, Guido, 1990. "Bootstrap prediction intervals for autoregressions," International Journal of Forecasting, Elsevier, vol. 6(2), pages 229-239, July. [Downloadable!] (restricted)
  22. Holger Bartel & Helmut Lutkepohl, 1998. "Estimating the Kronecker indices of cointegrated echelon-form VARMA models," Econometrics Journal, Royal Economic Society, vol. 1(Conferenc), pages C76-C99.
    Other versions:
  23. Lutkepohl, Helmut, 1985. "The joint asymptotic distribution of multistep prediction errors of estimated vector autoregressions," Economics Letters, Elsevier, vol. 17(1-2), pages 103-106. [Downloadable!] (restricted)
  24. Zellner, Arnold & Palm, Franz, 1974. "Time series analysis and simultaneous equation econometric models," Journal of Econometrics, Elsevier, vol. 2(1), pages 17-54, May. [Downloadable!] (restricted)
  25. repec:cup:etheor:v:8:y:1992:i:1:p:1-27 is not listed on IDEAS
  26. Tsay, Ruey S, 1989. "Parsimonious Parameterization of Vector Autoregressive Moving Average Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 7(3), pages 327-41, July.
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  30. Yamamoto, Taku, 1980. "On the Treatment of Autocorrelated Errors in the Multiperiod Prediction of Dynamic Simultaneous Equation Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 21(3), pages 735-48, October. [Downloadable!] (restricted)
  31. Stock, James H, 1996. "VAR, Error Correction and Pretest Forecasts at Long Horizons," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 58(4), pages 685-701, November.
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