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Testing for Short Memory in a VARMA Process

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Author Info

  • Oke, Timothy

    (Uppsala University)

  • Öller, Lars-Erik

    ()
    (National Institute of Economic Research)

Abstract

We generalize the short term memory test of an ARMA model, presented in Öller (1985), to the multivariate VARMA cases. In a study on Swedish exports and OECD demand we demonstrate how the multivariate setting extends the short memory.

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Bibliographic Info

Paper provided by National Institute of Economic Research in its series Working Paper with number 56.

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Length: 20 pages
Date of creation: 01 May 1997
Date of revision:
Handle: RePEc:hhs:nierwp:0056

Note: Published in Journal of Forecasting 18, 1999, 477-487.
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Postal: National Institute of Economic Research, P.O. Box 3116, SE-103 62 Stockholm, Sweden
Phone: 46-(0)8-453 59 00
Fax: 46-(0)8-453 59 80
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Web page: http://www.konj.se/
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Keywords: Prediction horizon; Memory; VARMA models;

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Cited by:
  1. Gustavsson, Patrik & Nordström, Jonas, 1999. "The Impact of Seasonal Unit Roots and Vector ARMA Modeling on Forecasting Monthly Tourism Flows," Working Paper Series 150, Trade Union Institute for Economic Research, revised 01 Jul 2000.

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