Forecasting with VARMA Models
AbstractVector 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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
This chapter was published in:
This item is provided by Elsevier in its series Handbook of Economic Forecasting with number 1-06.
Contact details of provider:
Web page: http://www.elsevier.com/wps/find/bookseriesdescription.cws_home/BS_HE/description
Other versions of this item:
- B0 - Schools of Economic Thought and Methodology - - General
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Schanne, N. & Wapler, R. & Weyh, A., 2010.
"Regional unemployment forecasts with spatial interdependencies,"
International Journal of Forecasting,
Elsevier, vol. 26(4), pages 908-926, October.
- Hampel, Katharina & Kunz, Marcus & Schanne, Norbert & Wapler, Rüdiger & Weyh, Antje, 2007. "Regional employment forecasts with spatial interdependencies," IAB Discussion Paper 200702, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany].
- Schanne, Norbert & Wapler, Rüdiger & Weyh, Antje, 2008. "Regional unemployment forecasts with spatial interdependencies," IAB Discussion Paper 200828, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany].
- David Hendry & Michael P. Clements, 2010. "Forecasting from Mis-specified Models in the Presence of Unanticipated Location Shifts," Economics Series Working Papers 484, University of Oxford, Department of Economics.
- Jean-Marie Dufour & Tarek Jouini, 2011. "Asymptotic Distributions for Some Quasi-Efficient Estimators in Echelon VARMA Models," CIRANO Working Papers 2011s-25, CIRANO.
- Helmut Luetkepohl, 2011. "Vector Autoregressive Models," Economics Working Papers ECO2011/30, European University Institute.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).
If references are entirely missing, you can add them using this form.