Testing for Short Memory in a VARMA Process
AbstractWe 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 InfoPaper 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:
Note: Published in Journal of Forecasting 18, 1999, 477-487.
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Prediction horizon; Memory; VARMA models;
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- 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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