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 (DGPs). The setup for these processes in the presence of cointegrated variables is considered. Moreover, a unique or identified parameterization based on the echelon form is presented. Model specification, estimation, model checking and forecasting are discussed. Special attention is paid to forecasting issues related to contemporaneously and temporally aggregated processes.
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Bibliographic InfoPaper provided by European University Institute in its series Economics Working Papers with number ECO2004/25.
Date of creation: 2004
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- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
This paper has been announced in the following NEP Reports:
- NEP-ALL-2005-08-13 (All new papers)
- NEP-ECM-2005-08-13 (Econometrics)
- NEP-ETS-2005-08-13 (Econometric Time Series)
- NEP-FOR-2005-08-13 (Forecasting)
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