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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Paper provided by National Institute of Economic Research in its series Working Paper with number
56.
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. Contact details of provider: 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 Email: Web page: http://www.konj.se/ More information through EDIRC
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