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Testing for Short Memory in a VARMA Process

Author

Listed:
  • 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.

Suggested Citation

  • Oke, Timothy & Öller, Lars-Erik, 1997. "Testing for Short Memory in a VARMA Process," Working Papers 56, National Institute of Economic Research.
    • Handle: RePEc:hhs:nierwp:0056
    Note: Published in Journal of Forecasting 18, 1999, 477-487.
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    Citations

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    Cited by:

    1. Marcus Mossfeldt & Par Osterholm, 2011. "The persistent labour-market effects of the financial crisis," Applied Economics Letters, Taylor & Francis Journals, vol. 18(7), pages 637-642.
    2. 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.
    3. Gren, Ing-Marie, 2003. "Monetary Green Accounting and Ecosystem Services," Working Papers 86, National Institute of Economic Research.
    4. Lindström, Tomas, 2003. "The Role of High-Tech Capital Formation for Swedish Productivity Growth," Working Papers 83, National Institute of Economic Research.
    5. Forslund, Johanna & Samakovlis, Eva & Vredin Johansson, Maria, 2006. "Matters Risk? The Allocation of Government Subsidies for Remediation of Contaminated Sites under the Local Investment Programme," Working Papers 94, National Institute of Economic Research.
    6. Boman, Mattias & Huhtala, Anni & Nilsson, Charlotte & Alroth, Sofia & Bostedt, Göran & Mattssson, Leif & Gong, Peichen, 2003. "Applying the Contingent Valuation Method in Resource Accounting: A Bold Proposal," Working Papers 85, National Institute of Economic Research.
    7. Vartiainen, Juhana, 2010. "Interpreting Wage Bargaining Norms," Working Papers 116, National Institute of Economic Research.
    8. Östblom, Göran & Ljunggren Söderman, Maria & Sjöström, Magnus, 2010. "Analysing future solid waste generation - Soft linking a model of waste management with a CGE-model for Sweden," Working Papers 118, National Institute of Economic Research.

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